2013 fe courseoutline iims final1

8/10/2019 2013 FE Courseoutline Iims Final1

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INDIAN INSTITUTE OF MANAGEMENT SHILLONG

Financial EngineeringPGP – II (2013) Course Outline

Instructor: Dr. Naliniprava Tripathy

Term: VCredits: OnePrerequisite: Quantitative inan!e" #asi! $at%emati!s & 'tatisti!smail: nalini*rava+,a%oo-!o-in.nt+iims%illon/-inInter!om: 03Objectiveinan!ial n/ineerin/ is toda, !%an/in/ t%e *ra!ti!e o nan!e-inan!ial4servi!e rms %ave 5e/un to use nan!ial en/ineerin/ as a5asis o !om*etition- Cor*orate nan!ial mana/ers also use nan!ialen/ineerin/ to advan!e s%are%older value- T%e !om*anies !an use onet,*e o nan!ial en/ineerin/ – derivatives – as *art o t%eir nan!ial

*ro/rams- T%rou/% !ase studies" 6e 6ill stud, in detail %o6 nan!ialen/ineerin/ is used in t%e rms to redu!e t%eir !osts o nan!in/" toalter t%eir undamental ris7 e8*osures" and ne6 6a,s to !om*ete- T%eo59e!tive o t%is !ourse is to introdu!e t%e te!%niques used or *ri!in/various t,*es o derivatives and t%eir *ra!ti!al a**li!ation- T%e !ourseis quantitative in nature and mat%emati!al *re*aration is required- T%e !ourse is %i/%l, a!!essi5le to an, student 6%o understands 5asi!mat%emati!s and 'tatisti!s and is 6illin/ to 6or7 %ard- T%e !ourse isdesi/ned assumin/ t%at t%e *arti!i*ant is amiliar 6it% t%e !ontents o t%e Quantitative inan!e !ourse-Grading

'ur*rise quies: 20;Case anal,sis *resentation" !lass *arti!i*ation and assi/nment: 20; Term *a*er: 20;nd t%eme e8am: <0;Prescribed Textbooks: .Options! "utures! #nd Other

Derivatives by $ohn %ull! Prentice hall! &''(2. Risk Management & Derivative by Rene M.Stulz,Thomson South-western,200

!. Derivatives" #n $ntro%ution by Robert #. Strong, Thomson South western, 200'

<- =erivatives mar7ets 5, >o5ert $!=onald" ?ddison @esle,A- =erivatives4$ar7ets" Valuation" and >is7 $ana/ement" Bo%n @ile, &'ons" In!-200

)upple*entary +eading ,aterial T%e su**lementar, readin/ material in!ludin/ !ases" te!%ni!al notes"and resear!% arti!les is made availa5le or students-Pedagogy T%e *eda/o/, to 5e ollo6ed 6ill 5e !om*letel, 5ased on t%e studentsollo6 u*- It 6ill 5e mi8 o !ase 5ased le!ture" !lass dis!ussion" andstudentsD *resentation- T%e ma9orit, o t%e learnin/ 6ill %a**en oE t%e!lassroom" and t%e !lassroom sessions 6ill 5e used or dis!ussin/ 6%at



%as 5een learnt outside t%e !lassroom- Ver, %eav, im*ortan!e 6ill 5e/iven or studentsD *re*aration or t%e sessions- $ost o t%e sessions6ill 5e 5ased on !ase" 6%i!% %as to 5e rst tried . dis!ussed 5, t%estudents as a /rou* on t%eir o6n- T%e a!ilitatorsD eEort 6ill 5e o!usedin *rovidin/ a learnin/ environment or t%e student rat%er t%an Fs*oon

eedin/D t%e student--ase analysisCases are to 5e dis!ussed in !lass- ? !ase 5rie 5, ea!% /rou* %as to5e *re*ared- T%e /rou*s are e8*e!ted to !ome *re*ared 6it% t%eir o6n6or7in/s in e8!el s%eet 7e*t read, or *resentation- ? !on!ise" 6ell4or/anied" insi/%tul anal,sis is e8*e!ted-? su//ested or/aniation o a !ase 5rie: (1) details o 5a!7/round

7no6led/e required or solvin/ t%e !ase 4 one *a/e (2) !ase 5a!7/round – %al *a/e (3) various levels o *ro5lem identied in t%e !ase –one *a/e (<) details o ,our anal,sis and ,our inter*retations – 2 *a/es(A) s*e!i! re!ommendations and im*lementation – one *a/e (A) nal

!on!lusion – %al *a/e- In !ase solvin/" ,ou are e8*e!ted to a**l, t%etools and *rin!i*les as 6ell as all ,our ot%er s7ills" to de!ide %o6 toresolve t%e *ro5lem identied in t%e !ase- ou !an use ne!essar,assum*tions in solvin/ t%e !ase- a!% /rou* is e8*e!ted to !ome 6it%**t *resentation i !ases /iven- T%e *resentation s%ould !overunderstandin/ o t%e *ro5lems" anal,sis (s%o6 t%e 6or7s%eet)"!omments and !on!lusions- ?n, one o t%e randoml, !alled mem5er o t%e /rou* 6ill 5e as7ed to ma7e *resentation- T%e *resentation and!ase dis!ussion mar7 (or t%e /rou*) 6ill 5e *rovided onl, on t%e*erorman!e o t%e mem5er 6%o *resents it- T%e !ase anal,sis 6ill 5eevaluated at /rou* level and also at individual level (eli/i5ilit, level)-

T%e /rou* level valuation 6ill 5e on t%e !ase 5rie (6ord le" e8!el le"**t le) su5mitted t%rou/% *u5li! older- @%ile su5mittin/ t%e !ase5rie all t%e /rou*s are e8*e!ted to list out t%e names o t%e students"6%o %ave si/ni!antl, !ontri5uted or t%e !ase anal,sis and*re*aration o !ase 5rie- I t%e names and roll Ho-Ds are not listed" it6ill 5e assumed t%at t%e *erson 6%o %as su5mitted t%e !ase is t%eonl, !ontri5utor (a /rou* !annot su5mit multi*le times)- T%e /rou*sare e8*e!ted to 5e more /enuine in listin/ out t%e names- T%estudents" 6%ose names are not ound in t%e list *rovided 5, t%e /rou*!an neit%er ta7e u* t%is individual evaluation -)urprise ui//es and end ter* exa*

'ur*rise quies 6ill 5e /iven *eriodi!all, t%rou/%out t%e !ourse- T%eavera/e /rades o all t%e sur*rise quies 6ill 5e !onsidered or/radin/- T%e question *attern or quies 6ill 5e an, or all o multi*le!%oi!e" ll in t%e 5lan7s" true or alse" ver, s%ort des!ri*tive- ?ll t%equies are !losed 5oo7 and it !overs *re reads" sel learnin/ to*i!s"!lass room dis!ussions and !ase anal,sis- T%ere 6ill not 5e more t%an20 questions to 5e ans6ered in 10 minutes- ? !om*re%ensive endt%eme e8am 6ill 5e /iven at t%e end o t%e !ourse- T%e end t%eme



e8am *attern 6ill 5e an, or all o inte/rated e8er!ises" mini !ases"listin/ out ,our o*inions in !ontradi!tion to esta5lis%ed t%eories andmodels- It !overs to*i!s !overed in all t%e sessions" 6%ole te8t 5oo7"tr, ,oursel e8er!ises" and rom !lass room dis!ussions-Ter* Paper

T%e !ontent o t%e term *a*er in!ludes (1) !on!e*tual rame 6or7" (2)revie6 o *ast studies (3) resear!% rame6or7 (<) em*iri!al anal,sis (A)ndin/s and !on!lusion- T%e !on!e*tual rame 6or7 in!ludes statisti!aland !ontem*orar, details on t%e to*i!- T%e students are e8*e!ted toreer suJ!ient num5er o (I /enerall, re!ommend 20 more relevantresear!% 6or7) resear!% arti!les- ?ll t%e arti!les s%ould 5e o resear!%arti!les *u5lis%ed ater Ban 2000 rom outstandin/ 9ournals- T%e t%irt,*er!ent o t%e resear!% *a*ers s%ould 5e rom Indian !onte8t andot%ers rom international !onte8t- T%e, are also e8*e!ted to 6rite a*ara/ra*% (not less t%an 10 lines) on ea!% o t%e arti!le reerred- T%eresear!% desi/n in!ludes o!us area" *ro5lem over vie6" stud,

o59e!tives" resear!% met%odolo/," data to 5e used" data t,*es andsour!es" sam*lin/ met%ods" stud, *eriod" details o statisti!al tools"s!o*e o t%e stud," and t%e limitations o t%e stud,- T%e studentss%ould 5e a5le to mana/e to !olle!t t%e data" !olle!t and understandresear!% arti!les" desi/n statisti!al models" and ma7e anal,sis- In t%eanal,sis *art t%e students are e8*e!ted to use required num5er o multivariate statisti!al tools or t%e *ur*ose o anal,sis- $ore t%an K0*er!ent o t%e eEort s%ould 5e to6ards em*iri!al anal,sis and testin/various esta5lis%ed models- T%e qualit, and t%e relia5ilit, o t%e *a*er6ill 5e measured on t%e suJ!ient num5er o reeren!es made rom t%eresear!% arti!les" !ases" te!%ni!al arti!les" and standard te8t 5oo7s-

T%e students are e8*e!ted to meet t%e a!ilitator and /et %is eed 5a!7or im*rovin/ t%e re*ort- T%e *a*er 6ritin/ ma, demand ,ou to s*endmore time in t,*in/" ormattin/ and redratin/ (man, times studentsD%ave a misunderstandin/ t%at t,*in/ and ormattin/ a re*ort does notadd an, value in learnin/)- T%e students are e8*e!ted su5mit t%e dataused" s*reads%eet and !o*, o su**ortin/ arti!les alon/ 6it% t%e naldrat-

)essions

Introdu!tion to inan!ial n/ineerin/ & t%e >ational or nan!ial >is7mana/ement" Introdu!tion to nan!ial derivatives 00+eading:

-hapter 1! page2324& )tul/5%6+ #rticle: Introdu!tion to Cor*orate inan!ial n/ineerin/)essions &21

$e!%ani!s o or6ard $ar7et & or6ard >ate ?/reement! -hapter2&!

page&7238 9 page(72'80$ohn -.%ull5

%6+ Note: Hote on or6ard Contra!t and '6a*)essions 8232



Valuin/ utures Contra!ts and ?**li!ation o utures" Interest >ate

utures" 'to!7 Inde8 utures" utures vs- or6ards -hapter239!

0$ohn -.%ull5

%6+ Note: or6ard &utures

-ase: announced letter)essions 427

Introdu!tion to '6a*s and ?**li!ation o '6a*s! -hapter24! 0$ohn

-.%ull5

-ase: announced letter)essions (2'2

$e!%ani!s o O*tion $ar7ets and Tradin/ 'trate/ies -hapter2(!

-hapter2! 0$ohn -.%ull5

%6+ Note: O*tion Contra!t and t%eir valuations-ase: announced letter)essions &21

O*tion Valuation $odels4#la!7 '!%ools $odel -hapter2 8 0$ohn

-.%ull5

%6+ Note: T%e #la!74'%oles o*tion4Pri!in/ $odel)essions 823

O*tion Led/in/ 'trate/ies -hapter2 7 0$ohn -.%ull5

Case: announced letter)essions

Volatilit, $odel4G?>CL" ?>CL -hapter2 && 0$ohn -.%ull5

+esearch paper: G?>CL &?>CL $odel

)essions 427Value at >is7 -hapter2 & 0$ohn -.%ull5

-ase: Mnderstandin/ Cor*orate4Value4at4>is7 t%rou/% a!om*re%ensive and 'im*le 8am*le)essions 72&'

Term Pa*er Presentation

2013 fe courseoutline iims final1

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