NOC:Financial Derivatives and Risk Management (USB)

Media Storage Type : 32 GB USB Stick

NPTEL Subject Matter Expert : Prof. J. P. Singh

NPTEL Co-ordinating Institute : IIT Roorkee

NPTEL Lecture Count : 60

NPTEL Course Size : 17 GB

NPTEL PDF Text Transcription : Available and Included

NPTEL Subtitle Transcription : Available and Included (SRT)

Lecture Titles:

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