NPTEL : NOC:Quantitative Investment Management (Management)

Co-ordinators : Prof. J P Singh


Lecture 1 - Overview and Introduction, Debt and Equity

Lecture 2 - Hybrids, Derivatives

Lecture 3 - Financial Risk

Lecture 4 - Arbitrage

Lecture 5 - Arbitrage Free Pricing

Lecture 6 - Arbitrage Free Pricing of Bonds

Lecture 7 - Forward Rates, Bond Pricing with Forward Rates

Lecture 8 - Binomial Interest Rate Tree

Lecture 9 - Bond Pricing with Binomial Trees

Lecture 10 - Bond Pricing (Continued...)

Lecture 11 - Valuation of Bonds with Embedded Options

Lecture 12 - Features of Option Embedded Bonds

Lecture 13 - Yield to Maturity

Lecture 14 - Bond Yields and Yield Spreads

Lecture 15 - Z Spread and Option Adjusted Spread (OAS)

Lecture 16 - Yield Spreads

Lecture 17 - Interest Rate Risk

Lecture 18 - Duration and Immunization

Lecture 19 - Immunization and Bond Dynamics

Lecture 20 - Duration: Properties

Lecture 21 - Effective Duration

Lecture 22 - Key Rate Duration

Lecture 23 - One Sided Duration

Lecture 24 - Modeling of Fixed Income Returns

Lecture 25 - Immunizing a Single Liability

Lecture 26 - The Barbell Strategy - 1

Lecture 27 - The Barbell Strategy - 2

Lecture 28 - Yield Shifts and Immunization

Lecture 29 - Fixed Income Portfolio Strategies - 1

Lecture 30 - Fixed Income Portfolio Strategies - 2

Lecture 31 - Fixed Income Portfolio Strategies - 3

Lecture 32 - Floaters, Caps and Floors

Lecture 33 - Derivatives, A Recapitulation

Lecture 34 - Forward Pricing - Investment Assets

Lecture 35 - Forward Pricing - Consumption Assets

Lecture 36 - Introduction to Options

Lecture 37 - Put Call Parity and Arbitrage

Lecture 38 - American Options - 1

Lecture 39 - American Options - 2

Lecture 40 - Option Trading Strategies - 1

Lecture 41 - Option Trading Strategies - 2

Lecture 42 - Option Trading Strategies - 3

Lecture 43 - Option Pricing - Binomial Model - 1

Lecture 44 - Option Pricing - Binomial Model - 2

Lecture 45 - Option Pricing - American Options

Lecture 46 - Random Walks

Lecture 47 - Brownian Motion

Lecture 48 - Stochastic Calculus

Lecture 49 - Stock Price Modelling

Lecture 50 - Black Scholes Model

Lecture 51 - Futures - 1

Lecture 52 - Futures - 2

Lecture 53 - Forward vs Futures Prices

Lecture 54 - Futures Hedging

Lecture 55 - Issues in Futures Hedging

Lecture 56 - Perfect Futures Hedge, Cross Hedge, Tailing the Hedge

Lecture 57 - Stock Index Futures - 1

Lecture 58 - Stock Index Futures - 2

Lecture 59 - Interest Rate Futures - 1

Lecture 60 - Interest Rate Futures - 2