Introduction- Forward contracts, Futures contracts, Options and other derivatives.
Forward and Futures – markets; use of futures for hedging; Risk Management Using Futures and Forwards; pricing- Cost
of Carry Model; interest rate futures
Options – Markets; Payoffs; Risk Neutral Valuation; Binomial Option Pricing Model ; Black Scholes Option Pricing Model;
Put Call Parity; Uses of Options; Option Strategies
Management of market risk – Stop loss; Delta hedging; Theta; Gamma; Vega; Rho; Scenario Analysis; Portfolio insurance,
VaR
Other derivatives- Swaps, Warrants, Convertibles
Risk Management in Financial Institutions – Overview of BASEL –II, Market Risk, Credit Risk and Operational risk
elements