NOC:Financial Derivatives and Risk Management


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