Title: Derivative Markets in India : Trading, Pricing, and Risk Management Author: Alok Dixit, P.K. Jain, Surendra S. Yadav ISBN: 0071332952 / 9780071332958 Format: Hard Cover Pages: 195 Publisher: TMH Year: 2012 Availability: Out of Stock
Description
Contents
Given the relatively nascent stage of Derivative Markets in India and their crucial role in capital creation, it becomes imperative to address select issues faced by market participants in the developing stage of such markets.
One of such issues is the pricing efficiency of options market and existence of arbitrage opportunities, especially during the initial years, and it's behavior over time. Understanding of arbitrage opportunities in an options market, their identification, and exploitation is quite important for market participants. A fair understanding of the same helps market participants to earn risk-less profits. At the same time it helps in restoring much needed equilibrium in the market.
Derivative Markets in India, potentially the first book of its kind in Indian context on S&P CNX Nifty index options, is a sincere effort in this direction.
Salient Features
Analysis of the problem using secondary as well as primary data
Detailing use of two most popular time series models, namely, GARCH and EGARCH models
Use of index futures market along with the options market to study the integration between the two markets
This book is for students in finance at Doctoral and Postgraduate levels and finance professors. It would also be useful to branch managers of brokerage forms as well as executives working in derivatives cells of SEBI, NSE, and BSE.
Preface
Acknowledgements
Abbreviations
Units of Measurement
Chapter 1 : Financial Derivatives Chapter 2 : Equity Options and Risk Management Chapter 3 : Testing Lower Boundary Conditions for the S&P CNX Nifty Index Options Chapter 4 : A Test of Put-Call Parity Relationship on S&P CNX Nifty Index Options Market Chapter 5 : Testing the Expectations Hypothesis on the Term Structure of Volatilities Implied by S&P CNX Nifty Index Options Chapter 6 : Informational Efficiency of Implied Volatilities of S&P CNX Nifty Index Options Chapter 7 : Survey Analysis and Findings