GUJARAT TECHNOLOGICAL UNIVERSITY
Syllabus for Master of Business Administration, 3rd Semester
Functional Area Specialization: Finance Management
Subject Name: Financial Derivatives (FD)
Subject Code: 4539222
Module Contents No. of 70 Marks
No: Sessions (External
Evaluation)
1 Introduction to risk management: (Only theory) 10 18
Defining and managing risk
Upside and downside risks
Commodity price risk
Interest rate risk
Approaches to risk management
Introduction to derivatives:
Defining derivatives and derivative markets
Spot v/s Derivatives markets
Forward, Futures, Options, Swaps
Uses of derivatives
Derivatives Market:
International and Indian derivatives market
Derivative exchanges
Trading system and types of traders
Trading process, online trading
Clearing and settlement system
Regulatory framework of derivatives market in India.
2 Forward Contracts: 10 18
Meaning, purpose, advantages and problems
Pricing of commodity forward contracts (Theory and
numerical).
Interest rate forwards (Theory and numerical).
Future Contracts:
Meaning, difference between forward and future contracts
Specifications of future contracts
Closing the position (Theory and numerical).
Margins and marking-to-market (Theory and
numerical).
Cost of Carry Models (Theory and numerical).
Price quotes, settlement price, open interest
Types of orders
Hedging, Speculation and Arbitrage using Futures:
Basis risk. Factors affecting basis risk
Single stock futures and Stock Index Futures (Theory and
numerical).
Commodity futures (Theory and numerical).
3 Fundamentals of Options: 10 17
Options issued by corporations (introduction)
Meaning of options contract, options terminologies
Moneyness in options (ITM, ATM, OTM) (Theory and
numerical).
Factors affecting Options premium
Exchange traded options
Call and Put options. (Theory and numerical).
Options Trading Strategies:
GUJARAT TECHNOLOGICAL UNIVERSITY
Syllabus for Master of Business Administration, 3rd Semester
Functional Area Specialization: Finance Management
Subject Name: Financial Derivatives (FD)
Subject Code: 4539222
Uncovered
Covered
Spread
Combination
Put-Call Parity: (Theory and numerical).
Risk free security
Put-call relationship
Binomial Options Pricing Model: (Theory and
numerical).
Binomial Options Pricing model for call and put options
Single period and two-period binomial options pricing
Model
4 Black-Scholes Options Pricing model: (Theory and 10 17
numerical).
Stock price behaviour
Assumptions in Black-Scholes model
Black-Scholes model for pricing call and put options.
Greeks in Options (only theory):
Risks in options trading
Characteristics of options hedging
Greeks in options hedging: delta, gamma, theta, Vega, rho.
SWAPS (Only theory):
Swaps: meaning, types, terminologies
Forward swaps
Swaptions
Equity swaps
Commodity swaps
5 Practical: (30 marks
Analysing Various Derivative Contract Specifications from --- CEC)
Exchanges.
Mark to Market Margin Calculation on Real time data from
Exchanges.
Understanding the trading and settlement process and other
documentary requirements at Brokers’ office to open the
trading account.
Calculating the futures and options price with cost of carry,
binomial and BS Models on real time data from Exchange &
analysing them with current market price.
Forming of different futures and options trading strategies with
the real time data from Exchange.
Forming of hedging with real time data from commodities
and currency Exchanges.
