KUK - LMS

Syllabus

MODULE NO / UNIT	COURSE SYLLABUS CONTENTS OF MODULE	NOTES
Course Code: M-BECOE-048 Course Name: Group 2 - Financial Economics) -Financial Derivatives
1	Derivatives: evolution, functions and participants; forwards and futures contract; pricing of forward and futures contract; the arbitrage argument; value of a forward contract. Reading List • Bodie, Z., Kane, A. & Marcus, A.J. (2017). Investments. McGraw Hill Education. • Hull, J. (2006). Options, Futures and Other Derivative Securities. Prentice Hall. • Kolb, Robert W. (1996). Financial Derivatives. Blackwell Publishing. • Kolb, Robert W. & Overdahl, James (2006). Understanding Futures Markets. Blackwell Publishing. • McDonald, R. (2002). Derivatives Markets. Addison-Wesley Publishing, Boston. • Reilly, F.K. & Brown, K.C. (2012). Investment Analysis and portfolio management. South-Western Cengage Learning.
2	Commodity futures: pricing and hedging; basis and basis risk; optimal hedge ratio; speculation with commodity futures; Stock and Index Futures: Pricing and Hedging Strategies; Foreign Exchange Futures: Pricing, Speculation and Hedging. Reading List • Baillie, Richard T. (1990). The Foreign Exchange Market. Cambridge University Press. • Bodie, Z., Kane, A. & Marcus, A.J. (2017). Investments. McGraw Hill Education. • Grinold, R.C. & Kahn, R.N. (1999). Active portfolio Management. McGraw Hill. • Reilly, F.K. & Brown, K.C. (2012). Investment Analysis and portfolio management. South-Western Cengage Learning.
3	The Options Market; Options Pay-Offs; Option Pricing – Binomial Model, Black - Scholes Model; Option Price Sensitivities: Delta, Gamma, Vega, Rho, Delta Hedging. Reading List • Hull, J. (1993). Options, Futures and Other Derivative Securities. Prentice Hall. • Kolb, Robert (1996). Financial Derivatives. John Wiley & Sons, USA. • Reilly, F.K. & Brown, K.C. (2012). Investment Analysis and Portfolio Management. South-Western Cengage Learning.
4	Hedging strategies with options; combinations of options; exotic options; interest rate swaps and their valuation. Reading List • Milne, Frank (2003). Finance Theory and Asset Pricing. Oxford University Press. • Ho, Thomas A. & Lee, Sang Bin (2005). Securities Valuation: Applications of Financial Modeling. Oxford University Press. • Hull, J. (2006). Options, Futures and Other Derivative Securities. Prentice Hall. • Kolb, Robert W. (1996). Financial Derivatives. Blackwell Publishing. • Reilly, F.K. & Brown, K.C. (2012). Investment Analysis and portfolio management. South-Western Cengage Learning.