Syllabus Of IM-

Chapter 1: Financial markets and instruments
Money and bond markets; Money market instruments; Bond market instruments; Equity markets; Equity instruments; Derivatives markets; Managed funds; Exchange traded funds; Exchange trading and over-the-counter trading; Clearing, settlements, margin trading, short sales and contingent orders; Regulation of financial markets.

Chapter 2: History of financial markets
History of financial innovation; Recent financial innovations (e.g., floating rate debt, zero-coupon bonds, poison-pill securities, swaps, futures); Investment returns in equity and bond markets; Equity premium puzzle.

Chapter 3: Fund management and investment
Historical mutual fund performance; Market efficiency and behavioral finance; Return based trading strategies; Performance of hedge funds; Statistical arbitrage.

Chapter 4: Market microstructure
Types of markets; Limit Order Markets; Bid-ask bounce (Roll); Adverse selection (Glosten-Milgrom); Optimal insider trading (Kyle); Market microstructure and investment analysis.

Chapter 5: Diversification
Expected portfolio returns and variance; Utility functions and expected utility; Risk aversion; The mean-variance problem; Capital allocation with other utility functions (CARA, CRRA); Estimating covariances: the index model; Abnormal returns: Treynor-Black model; Factor models.

Chapter 6: Portfolio immunization
Bond math; Term structure of interest rates; Yield to maturity; Duration; Immunization of bond and equity portfolios.

Chapter 7: Risk and performance measurement
Types of risk; Risk decomposition; Value-at-risk (VaR); Risk-adjusted performance measures; Performance measurement with changing portfolios (market timing).

Chapter 8: Risk management
Risk capital allocation; Put option protection; Portfolio insurance with calls; Nonlinear payoffs; Extreme risk; Hedging volatility; Hedging credit risk.

Literature: