NPTEL : NOC:Financial Derivatives and Risk Management (Management)

Co-ordinators : Prof. J. P. Singh


Lecture 1 - Overview of Derivatives

Lecture 2 - Forwards: Introduction and Pricing

Lecture 3 - Forwards: Pricing and Arbitrage

Lecture 4 - Forwards Pricing: Consumption Assets

Lecture 5 - Futures: Introduction and Salient Features

Lecture 6 - Futures: Margining and MTM

Lecture 7 - Forwards and Futures Prices, Exposure

Lecture 8 - Exposure and Risk

Lecture 9 - Basics of Futures Hedging

Lecture 10 - Futures Hedging: Nuances

Lecture 11 - Futures Hedging: No of Contracts

Lecture 12 - Futures Hedging: Examples

Lecture 13 - Mean Variance Portfolio Theory

Lecture 14 - Capital Asset Pricing Model

Lecture 15 - Systematic and Unsystematic Risk

Lecture 16 - Index Futures: Basic Theory

Lecture 17 - Hedging with Index Futures

Lecture 18 - Index Futures: Arbitrage, Examples

Lecture 19 - Spot Interest Rates and YTM

Lecture 20 - YTM, Other Yield Measures

Lecture 21 - Interest Rate Risk

Lecture 22 - Duration and Price Sensitivities, Immunization

Lecture 23 - Interest Rate Futures: Salient Features

Lecture 24 - T-Bill Futures: Applications

Lecture 25 - T-Bill Futures: Hedging

Lecture 26 - T-Bill Futures: Arbitrage; Eurodollar Futures

Lecture 27 - Tailing the Hedge; Clean and Dirty Price

Lecture 28 - US T-Bond Futures: Salient Features, Pricing

Lecture 29 - US T-Bond Futures: Conversion Factor; Options

Lecture 30 - Options: Basic Theory

Lecture 31 - Options: Put-Call Parity

Lecture 32 - Options: Price Bounds, American Options

Lecture 33 - American Options: Properties

Lecture 34 - Basic Option Trading Strategies

Lecture 35 - Option Strategies (Continued...)

Lecture 36 - Option Spread Strategies

Lecture 37 - Stochastic Processes: Random Walk

Lecture 38 - Stochastic Processes: Brownian Motion

Lecture 39 - Stochastic Processes: Diffusion Equation

Lecture 40 - Stochastic Processes: Central Limit Theorem, Stochastic Calculus

Lecture 41 - Stochastic Calculus: Ito’s Equation

Lecture 42 - Stock Price Distributions; Fokker Planck Equation and Solution

Lecture 43 - Lognormal Distribution

Lecture 44 - Option Pricing: Binomial Model, Risk Neutral Valuation

Lecture 45 - Option Pricing: Binomial Model Contd

Lecture 46 - Girsanov Theorem; Black Scholes Model

Lecture 47 - Black Scholes Model (Continued...)

Lecture 48 - Features of BS Model

Lecture 49 - Solution of BS PDE; Option Greeks

Lecture 50 - Option Greeks: Definition and Properties

Lecture 51 - Option Greeks: Further Properties

Lecture 52 - Option Greeks: Further Properties, Role in Trading Strategies

Lecture 53 - Option Greeks: Further Properties, Role in Trading Strategies (Continued...)

Lecture 54 - Option Greeks: Role in Trading Strategies (Continued...); Swaps

Lecture 55 - Forward Rate Agreements; Swaps

Lecture 56 - Swaps: Theory of Swaps

Lecture 57 - Swaps: Valuation of Interest Rate Swaps

Lecture 58 - Currency Swaps; Value at Risk

Lecture 59 - Value at Risk: Definition and Computation

Lecture 60 - Value at Risk: Computation for Bond and Derivative Portfolios