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
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Analysis of the problem using secondary as well as primary data
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Detailing use of two most popular time series models, namely, GARCH and EGARCH models
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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
Glossary
References
