INDIAN INSTITUTE OF TECHNOLOGY KANPUR

INDUSTRIAL AND MANAGEMENT ENGINEERING DEPARTMENT

MBA676: SECURITY ANALYSIS, DERIVATIVES AND PORTFOLIO
MANAGEMENT
Instructor:
Office:
Phone:
Email:

Raghu Nandan Sengupta

CC-207
6607 (O)
raghus@iitk.ac.in

Syllabus
Financial Markets, Investment Alternatives, Risk and Return, Portfolio Theory and
Capital Asset Pricing Theory and Arbitrage Pricing Theory, Efficient Market
Hypothesis, Security Analysis an Valuation, Valuation of Equity and Fixed Income
Securities, Fundamental Analysis, Technical Analysis, Investment Strategies,
Derivatives, Options and Properties of Stock Options, Futures, Swaps, Binomial
Trees, Black Scholes Model, Estimating Volatility and Correlations, Hedging and
Portfolio Management.
References
1) Modern Portfolio Theory and Investment Analysis; Edwin J. Elton and Martin J.
Gruber, John Wiley & Sons.
2) Security Analysis and Portfolio Management; Donald E. Fischer and Ronald J.
Jordan, Prentice Hall of India.
3) Investments; William F. Sharpe, Gordon J. Alexander and Jeffery V. Bailey,
Prentice Hall of India.
4) Investment Analysis and Portfolio Management; Prasanna Chandra, Tata McGraw
Hill.
5) Investment Science; David G. Luenberger, Oxford University Press.
6) Options, Futures and Other Derivatives; John C. Hull, Pearson Education Asia.
7) Relevant journals papers and business clippings as and when needed.
Evaluation Methodology
1) First Mid-Term Examination:
2) Second Mid-Term Examination:
3) Final Semester Examination:
4) Project/Assignments*
Total:

25%
25%
25%
25%
100%

*Assignments (group wise) would be about five to six in number or more.