Learn · NPTEL

Course11010712861 lectures

Financial Derivatives & Risk Management

Prof. J. P. Singh · IIT Roorkee

Start with lecture 1 At NPTEL

Lectures

Unit-1

  1. Overview of Derivatives Video
  2. Forwards: Introduction & Pricing Video
  3. Forwards: Pricing & Arbitrage Video
  4. Forwards Pricing: Consumption Assets Video
  5. Futures: Introduction & Salient Features Video

Unit-2

  1. Futures: Margining & MTM Video
  2. Forwards & Futures Prices, Exposure Video
  3. Exposure & Risk Video
  4. Basics of Futures Hedging Video
  5. Futures Hedging: Nuances Video

Unit-3

  1. Futures Hedging: No of Contracts Video
  2. Futures Hedging: Examples Video
  3. Mean Variance Portfolio Theory Video
  4. Capital Asset Pricing Model Video
  5. Systematic & Unsystematic Risk Video

Unit-4

  1. Index Futures: Basic Theory Video
  2. Hedging with Index Futures Video
  3. Index Futures: Arbitrage, Examples Video
  4. Spot Interest Rates & YTM Video
  5. YTM, Other Yield Measures Video

Unit-5

  1. Interest Rate Risk Video
  2. Duration & Price Sensitivities, Immunization Video
  3. Interest Rate Futures: Salient Features Video
  4. T-Bill Futures: Applications Video
  5. T-Bill Futures: Hedging Video

Unit-6

  1. T-Bill Futures: Arbitrage; Eurodollar Futures Video
  2. Tailing the Hedge; Clean & Dirty Price Video
  3. US T-Bond Futures: Salient Features, Pricing Video
  4. US T-Bond Futures: Conversion Factor; Options Video
  5. Options: Basic Theory Video

Unit-7

  1. Options: Put-Call Parity Video
  2. Options: Price Bounds, American Options Video
  3. American Options: Properties Video
  4. Basic Option Trading Strategies Video
  5. Option Strategies Contd Video

Unit-8

  1. Option Spread Strategies Video
  2. Stochastic Processes: Random Walk Video
  3. Stochastic Processes: Brownian Motion Video
  4. Stochastic Processes: Diffusion Equation Video
  5. Stochastic Processes: Central Limit Theorem, Stochastic Calculus Video

Unit-9

  1. Stochastic Calculus: Ito's Equation Video
  2. Stock Price Distributions; Fokker Planck Equation & Solution Video
  3. Lognormal Distribution Video
  4. Option Pricing: Binomial Model, Risk Neutral Valuation Video
  5. Option Pricing: Binomial Model Contd Video

Unit-10

  1. Girsanov Theorem; Black Scholes Model Video
  2. Black Scholes Model Contd. Video
  3. Features of BS Model Video
  4. Solution of BS PDE; Option Greeks Video
  5. Option Greeks: Definition & Properties Video

Unit-11

  1. Option Greeks: Further Properties Video
  2. Option Greeks: Further Properties, Role in Trading Strategies Video
  3. Option Greeks: Further Properties, Role in Trading Strategies Contd. Video
  4. Option Greeks: Role in Trading Strategies Contd.; Swaps Video
  5. Forward Rate Agreements; Swaps Video

Unit-12

  1. Swaps: Theory of Swaps Video
  2. Swaps: Valuation of Interest Rate Swaps Video
  3. Currency Swaps; Value at Risk Video
  4. Value at Risk: Definition & Computation Video
  5. Value at Risk: Computation for Bond & Derivative Portfolios Video

Live Session

  1. Live Session 17-09-2019 Video

Syllabus and materials

At NPTEL, as the course publishes them.

Credits and licence

Institution
IIT Roorkee
Department
Management
Teacher
Prof. J. P. Singh
Level
Undergraduate
Language
English
Subjects
Business and management
Source
NPTEL
Licence
CC BY-NC-SA, as NPTEL states it. Non-commercial use only. NPTEL's terms
Attribution
NPTEL states: "Distributed under Creative Commons Attribution-ShareAlike / CC BY - NC - SA", beside a BY-NC-SA badge.
Who can watch
NPTEL gives no rating. Invisible Network shows it to Tweens profiles and older, judged from what the source says about it. How courses are placed