ISM Institute of Stock Market Delhi

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Derivative ( Advanced ) Course

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Modules

Module 1 : Derivatives & Quantitative Fundamentals – A Backgrounder

  • Derivative Types
  • Beta
  • R-Square
  • Continuous Compounding
  • Option Valuation
  • Historical Volatility (σ)
  • Normal Distribution
  • Share Prices – Lognormal Distribution
  • Volatility (σ)
  • ARCH(m) Model
  • Exponentially Weighted Moving Average (EWMA)
  • GARCH Model
  • Implied Volatility

Module 2 :Fundamentals of Equity Futures

  • Contracts
  • Selection Criteria
     Stock Selection Criteria
     Criteria for Continued Eligibility of Stock
     Criteria for Re-inclusion of Excluded Stocks
     Index Selection Criteria
  • Price Steps and Price Bands for Contracts
  • Quantity Freeze for Futures Contracts
  • Novation
  • Margins
  • Daily Mark-to-Market Settlement
  • Final Settlement
  • Cost of carrying J. Determining Stock Futures Price (without Dividend)
  • Determining Stock Futures Price (with Dividend)
  • Determining Index Futures Price (without Dividend)
  • Determining Index Futures Price (with Dividend)
  • Cash & Carry Arbitrage
  • Reverse Cash & Carry Arbitrage
  • Convergence of Spot & Futures
  • Contango & Backwardation
  • Cost of carrying - Commodities

Module 3 :Interest Rate Futures

  • Interest Risk Management through Futures
  • Contracts & Eligible Securities
  • Conversion Factor
  • Cheapest to Deliver (CTD)
  • Contract Structure & Mechanics of FUTIRD
  • Contract Structure & Mechanics of FUTIRT

Module 4 : Investment with Equity Futures

  • Relation between Futures and Spot Price
  • Payoff Matrix from Futures
     Long Futures
     Short Futures
  • Hedging with Futures
  • Basis Risk
  • Modifying the Portfolio Beta with Futures
  • Rolling Hedges
  • Investment Strategies Using Futures

Module 5 : Black-Scholes Option Pricing Model

  • European Call Option
  • European Put Option 
  • Dividends

Module 6 : Option Greeks

  • Delta
     European Call on non-dividend paying stock
     European Put on non-dividend paying stock
     European Call on asset paying a yield of q
     European Put on asset paying a yield of q
  • Gamma
     European Call / Put on non-dividend paying stock
     European Call / Put on asset paying a yield of q
  • Theta
     European Call on non-dividend paying stock
     European Put on non-dividend paying stock
     European Call on asset paying yield of q
     European Put on asset paying yield of q
  • Vega
     European Call / Put on non-dividend paying stock
     European Call / Put on asset paying yield of q
  • RHO
     European Call on non-dividend paying stock
     European Put on non-dividend paying stock

Module 7 :Currency Futures & Options

  • Currency Futures Contracts
  • Calculation of Daily Settlement Price of Currency Futures
  • Transactions in Currency Futures
  • Currency Futures or Forward Rate Agreement
  • Currency Options Contracts
  • Valuation of Currency Options                                                                                                                             European Call Option
     European Put Option
  • Transactions in Currency Options
     Swaps
  • OTC Products
  • Interest Rate Swap
  • Valuing Interest Rate Swaps
     Valuation based on Bonds
     Valuation based on Forward Rate
  • Agreements (FRAs)
  • Currency Swap
  • Valuing Currency Swaps
  • Swaption

Module 8 :Currency Futures & Options

  • Credit Risk & Rating
  • Default History & Recovery Rates
  • Calculation of Default Risk
     Simple Approach
     Present Value Approach
  • Mitigating Credit Risk
  • Credit Default Swaps
  • Collateralized Debt Obligation (CDO)

Module 9 : Embedded Options in Debt Instruments

A. Warrants
B. Convertible Bonds
C. Call Option in a Debt Security
D. Put Option in a Debt Security
E. Put & Call Option in a Debt Security
F. Caps
G. Floors
H. Collars

Course Duration

Time:  1 Month

FEES:  Only Upgrade

 

Batches Available

Weekdays and Weekends Both

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Recommended For

Traders
Financial Analysts
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