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B.Com. (Investment Management) Derivative Markets Syllabus - Mumbai University

This is the TY BCom IM syllabus under NEP 2020, in force from the academic year 2026-27. The University still sets the earlier Choice Based papers alongside it for ATKT candidates, so check which scheme your exam form names before you revise.

Derivative Markets Syllabus.pdf
Major · Semester 6 · TY BCom IM · 4 credits · 100 marks

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Syllabus for Derivative Markets

Major · Semester 6 · TY BCom IM · 4 credits · 100 marks

Module I: Introduction to Derivatives and Markets

  • Unit 1: Basics of Derivatives
  • Meaning and Definition of Derivatives – Introduction to derivative contracts and their role in financial markets.
  • Types of Derivatives – Overview of forwards, futures, options, and swaps.
  • Participants in Derivative Markets – Hedgers, speculators, arbitrageurs and their motivations.
  • Evolution of Derivative Markets in India – Historical developments, regulatory framework by SEBI, and current trends.
  • Unit 2: Derivative Exchanges and Market Mechanisms
  • Organised Exchanges vs OTC Markets – Structure, features, and differences.
  • Clearing and Settlement Process – Role of clearing houses, margining, and mark-to- market.
  • Derivative Trading System in India – NSE, BSE derivatives segments, and contract specifications.
  • Regulation of Derivative Markets – SEBI guidelines, risk containment measures, and investor protection.

Module II: Forwards and Futures

  • Unit 3: Forward Contracts
  • Concept and Features of Forward Contracts – Customised agreements and settlement terms.
  • Pricing of Forward Contracts – Cost of carry model and pricing in different market conditions.
  • Hedging with Forwards – Strategies for managing risk in commodities, currencies, and financial assets.
  • Limitations of Forwards – Liquidity issues, counterparty risk, and lack of standardisation.
  • Unit 4: Futures Contracts
  • Features and Mechanism of Futures – Standardisation, margins, marking-to-market.
  • Pricing and Valuation of Futures – Futures parity and cost of carry approach.
  • Hedging Strategies Using Futures – Long hedge, short hedge, cross-hedging.
  • Arbitrage Opportunities – Cash-and-carry and reverse cash-and-carry arbitrage.

Module III: Options and Option Strategies

  • Unit 5: Options Fundamentals
  • Types of Options – Call and Put options, American vs European options.
  • Option Terminologies – Strike price, premium, intrinsic value, time value, moneyness.
  • Option Pricing Models – Black-Scholes model (conceptual), binomial model basics.
  • Factors Affecting Option Prices – Volatility, interest rates, dividends, time to expiry.
  • Unit 6: Option Trading Strategies
  • Basic Strategies – Covered call, protective put, straddle, strangle.
  • Spread Strategies – Bull spread, bear spread, butterfly spread.
  • Combinations and Complex Strategies – Collar, calendar spreads.
  • Payoff Diagrams and Strategy Evaluation – Profit/loss at expiration and risk-return analysis.

Module IV: Swaps and Risk Management Using Derivatives

  • Unit 7: Swaps
  • Introduction to Swaps – Concept and types of swaps.
  • Interest Rate Swaps – Structure, pricing, and applications.
  • Currency Swaps – Mechanism, exchange of principals, and benefits.
  • Uses of Swaps in Corporate Finance – Risk management, asset-liability management.
  • Unit 8: Derivatives in Risk Management
  • Market Risk and Derivative Instruments – Measuring and managing price, interest rate, and currency risks.
  • Value at Risk (VaR) – Concept and application in derivatives markets.
  • Hedging vs Speculation vs Arbitrage – Use of derivatives for each purpose.
  • Limitations and Risks of Derivatives – Model risk, liquidity risk, leverage concerns.

Reference Books

  • 1 S.L. Gupta – Financial Derivatives: Theory, Concepts and Problems
  • 2 Bharat Rufus & Sundaram – Derivatives and Risk Management
  • 3 V. A. Avadhani – Investment and Securities Markets in India
  • 4 Risk Management and Derivatives – ICAI / ICSI Publications
  • 5 Ravi Gupta – Derivatives and Risk Management

Reproduced from the University of Mumbai syllabus for B.Com. (Investment Management) under NEP 2020, in force from the academic year 2026-27. Wording is as printed in that syllabus. Module numbering is as printed there too.

The complete syllabus

This subject is cut from the University circular for its year. Open a document here if you want the whole thing rather than a single subject.

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