NARAYANA ENGINEERING COLLEGE

Nellore (A.P)

Dept of MBA

Lecture plan (2018-19)

Name of the subject: FINANCIAL DERIVATIVES (17E00403) class: II-M.B.A-(IV-sem)

Name of the staff: Dr. Gangineni Dhananjhay Department: MBA

Course objective : The objective of this course is to make students efficient in the
area of Financial Derivatives, giving them the knowledge of basics in Financial
Derivatives, Future Markets, Option Strategies, etc.
S.NO Date Hour Topics to be covered Teaching aids/ reference remarks
books

1 Unit-1: Introduction to Derivatives Chalk/duster R1

2 Development &growth of Derivatives markets Chalk/duster R1

3 Types of derivatives, Uses of derivatives Chalk/duster R2

4 Fundamental linkage b/w spot & derivatives Chalk/duster R1

5 Role, Need and structure of DM in India Chalk/duster R1

6 Traders in derivative market Chalk/duster R1

7 Uses and misuses of derivatives/ Case Study Chalk/duster R2

8 Finance Movie “ BIG SHORT” Projector R2

9 Finance Movie “ ROGUE TRADER” Projector R2

10 Unit-2: Structure of Forward Market Chalk/duster R2

11 Structure of futures market Chalk/duster R1

12 Mechanics of futures market Chalk/duster R1

13 Hedging strategies Chalk/duster R1

14 Using futures markets Chalk/duster R1

15 Determination of forward and futures prices Chalk/duster R1

16 Problems Chalk/duster R2

17 Interest rate futures Chalk/duster R2

18 Currency futures and forwards Chalk/duster R1

19 Problems Chalk/duster R2

20 Case study Chalk/duster R2

21 Unit-3: Meaning of option contract Chalk/duster R1

22 Difference b/w options & futures Chalk/duster R1

23 Structure of options market Chalk/duster R2

I MID EXAMINATIONS -

24 Principles of option pricing Chalk/duster R3

25 Factors determining option prices Chalk/duster R3

26 Option pricing model , Binominal model Chalk/duster R1

27 Problems Chalk/duster

28 Single period option model Chalk/duster R2

29 Multiple period option model Chalk/duster R2

30 Black- scholes Merton model, Chalk/duster R2

31 problems Chalk/duster R2

32 Case study

33 Unit-4: Introduction to basic option strategies Chalk/duster R2

34 Advanced option strategies Chalk/duster R1

35 Bull, Bear spreads Chalk/duster R1

36 Straddles, Strangles Chalk/duster R2

36 Trading with options, strategies involved Chalk/duster R1

37 Hedging with options Chalk/duster R1

38 Currency options Chalk/duster R3

39 Case study R3
40 Problems Chalk/duster R2

41 UNIT-5: Concept & Nature of Swaps Chalk/duster R2

42 Basic swap structure Chalk/duster R2

43 Major types of financial swaps Chalk/duster R1

44 Interest rate swaps Chalk/duster R1

45 Currency swaps Chalk/duster R3

46 Commodity swaps Chalk/duster

47 Credit risk in swaps Chalk/duster

48 Problems Chalk/duster

49 CASE STUDY R3

50 REVISION AND CHAPTER WISE TESTS PROJECTOR R1,R2

2 MID-EXAMS-

1 DERIVATIVES & RISK MANAGEMENT R1 JR VARMA

2 OPTIONS, FUTURES & OTHER DERIVATIVES R2 JOHN C HULL

3 COMMODITY & FINANCIAL DERIVATIVES R3 KEVIN

4 NISM STUDY MATERIAL R4 NISM

5 NSE WEBSITE GOOGLE

Staff HOD PRINCIPAL

 NARAYANA ENGINEERING COLLEGE, Nellore
DEPT OF MANAGEMENT STUDIES

FINANCIAL DERIVATIVES

QUESTION BANK

Unit-1 Faculty : Dr. Gangineni . Dhananjhay

1. Define financial derivatives? Explain characteristics of FD’s.

2. Briefly explain about the evaluation & growth of derivatives?

3. What are the different types of derivatives available in the Indian market?

4. Explain about the fundamental linkage b/w spot and derivative market.

5. What are the advantages and dis advantages of derivatives?

6. Explain structure, role of derivatives.

7. Explain arbitrage and law of one.

8. What is the need of derivative market in India?

Unit-2

1. Write about future and forward contract & give characteristics of forward market?

2. Classifications of forward market/contract?

3. What are the differences between forward and future contracts?

4. Explain the following A). Types of Hedging B). Basis risk v/s price risk
5. Write about trading mechanism of futures contract

6. What are currency futures? Explain its characteristics.

7. Write about price determination in forward contract.

8. What are the types of interest rates futures?

Unit-3

1. What is meant by options market? Explain various classifications of options?

2. Differences between options and futures.
3. Explain the structure of options markets?
4. Explain the different traders in option s market.
5. Explain Binomial Option pricing model.
6. A. How the determine the options?

B. Consider the following

S = 60, u = 1.4, d = 0.8,

e = 50, r = 0.12, r = 1.12

What is the value of the call option?

7. Discuss the Black-scholes option pricing theory with suitable examples.

8. Explain the principles of option pricing.

Unit-4

1. Explain options stratagies .

2. Explain the following:

a. Delta b. Theta c. Rho

d. Gamma e. Vega f. Phi hedgers

3. A stock is currently selling for rs. 400. The price of call option expiring six months
is as follows:

Strike price = rs.350, call price = rs.15,

Strike price = rs.390, call price = rs.11,

Strike price = rs. 425, call price = rs. 8.

Investor feels is unlikely that stock price will move significantly in next months.
Draw a butterfly spread with the given options.

4. What is hedging with option? Explain its importance.

5. What is currency option market? Explain features.

6. Explain money, bull , bear spreads.

7. Elaborate options trading strategies for a) Long call b) short put

Unit-5

1. Write about the nature &features of swaps?

2. Discuss Properties and Evaluation of swaps

3. Explain different types of swaps?

4. How the credits swap valuation?

5. Discuss in detail on commodity swaps.

6. What is credit risk in swaps? Explain how risk can be managed using swaps.

7. What is currency swap? How currency swap is valued.

STAFF HOD PRINCIPAL