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M COM (BUSINESS FINANCE) ADMISSIONS 2020 PONDICHERRY AND KARAIKAL 

Quantitative Finance - PONDICHERRY UNIVERSITY

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1

PONDICHERRY UNIVERSITY

Ramanujan School of Mathematical Sciences

Syllabus for M.Sc. Quantitative Finance

(CBCS Pattern)

Effective from the Academic Year 2019-20 onwards

2

PONDICHERRY UNIVERSITY

Ramanujan School of Mathematical Sciences

M. Sc. (Quantitative Finance)

CURRICULUM & COURSE STRUCTURE

Eligibility:

A candidate who has secured 55% marks or above in any one of the following or equivalent is eligible to apply. B. Sc. (Mathematics), B. Sc. (Statistics), B. Com./B.B.A/B.B.M with Mathematics, B. A. / B. Sc. (Economics/Econometrics) Computer Science/Computer Applications/Information Technology.

Selection Procedure:

Candidates are admitted for M.Sc Quantitative Finance programme is based on an All India level entrance examination conducted by the University. The entrance test for M. Sc is similar to that of any standard All India Management Admission (on lines of GMAT/GRE) with objective type of questions in General English, Reasoning, Problem Solving, Basics of Computer Science, General Engineering Contemporary Business/Economics/Finance Issues and Mathematics (Algebra and Calculus at higher secondary level).

Choice Based Credit System (CBCS)

The M. Sc Quantitative Finance degree programme is offered through a unique Choice Based Credit System (CBCS). The Salient features of the CBCS system is that the programme is offered through credit based courses. Subjects are divided into Hard core and Soft core. Hard core subjects are compulsory. The students have choice to select from among the list of Soft core subjects. Soft core subjects are similar to electives. Based on the quantum of syllabus and number of hours of teacher interaction in the classroom, each subject is assigned with certain number of credits. A student is expected to complete a minimum of 72 credits worth of courses within 4 semesters of M. Sc Quantitative Finance degree programme. Students are assessed and awarded letter grades based on the performances in the respective courses. This program trains the students to focus on real time application oriented problems using computer oriented packages (Financial and Statistical packages) like Minitab, CMIE- PROWESS, BLOOMBERG, SPSS, R , EVIEWS, PYTHON, GRETL and STATA. 3

Duration of the course:

The normal duration of any PG program is 4 Semesters. However, students are allowed to complete the PG program of the study within a maximum of 8 Semesters

Weightage of Marks:

The weightage of marks for Continuous Internal Assessment (CIA) and End Semester Examination shall be 40 and 60 respectively. A student is declared passed in the given subject when he/she secures a minimum of 50 marks (Both Internal and End Semester put together). A minimum of 40% in end semester exam is essential.

Internal Continuous Assessment Component:

The weightage of 40 marks for Internal Continuous Assessment Component shall consist of the following:

Written test [2 Class Test(s)] = 30 marks

Written Assignment(s) = 5 marks

Seminar Presentation(s)/ Field Work(s)

= 5 marks ________

Total : 40 marks

_________

Evaluation of End Semester Written Examination:

Each student will be assessed by the concerned teacher by conducting internal assessment activities for 40 marks. Since the internal assessment is a continuous assessment of the progress of the student, there will not be any supplementary tests. End Semester Exam will be conducted at the end of each semester during the prescribed time schedule given by the University. The question paper will be set by the internal experts and the exams will be organized by the department under the direct supervision of the Dean, Ramanujan School of Mathematical Science. The list of External Examiners is to be approved by the Dean Ramanujan School of Mathematical Science from a panel of External Examiners to be given by the Course in-charge for each subject and the consolidated panel of examiners shall be forwarded to the Dean by the HOD/Coordinator of the Programme. The answer scripts of the End Semester Examination shall be evaluated for a weightage of 60 marks and this will be evaluated by the Internal and external Examiner. The sum of the marks awarded in the Internal Assessment and by the End Semester examination will be taken for awarding the Grades. 4

Supplementary examination:

(i) A failed student who meets the attendance requirement and has a minimum of 40% in internal assessment marks may be permitted to register for the immediate end semester examination (ii) Students who have failed due to insufficient attendance and /or less than 40% in Internal Assessment marks should repeat the course as and when it is offered.

Summer Internship:

Every student of M. Sc Quantitative Finance Degree Programme shall undergo an internship in any leading Bank, Financial Institution, Stock Market, Investment Bank, Insurance Companies, Merchant Banking and Stock broking companies for a period of 6 weeks during summer vacation (at the end of second Semester) under the guidance of a Faculty Member in the Department.

Once guides are allotted to the students, the students should contact the respective guides periodically

and get necessary guidance and feedback on the project work. Company should be identified by student as well as the Department at the end of second semester examinations and it should be communicated to the department, the name of the company in which

he/she is undergoing the project, the exact title of the project, the name of the Company Guide and his

contact number etc. In the first week of August, all the students have to give a presentation about their

observations made by them in internship. Students have to follow a detailed guidelines being

circulated by the department in the preparation of internship report. At the end of the internship

period, every student shall submit a structured internship report within 15 days from the date of the

completion of the project period.

Workshop:

Workshop is an educational seminar or series of meetings emphasizing interaction and exchange of information on financial modeling among students of M. Sc (Quantitative Finance). Students have to produce their own model in their area of specialization at the end of workshop and which will be evaluated and marks will be awarded by an external expert.

Final Project:

Every student of M. Sc Quantitative Degree Programme shall carry out a full semester project

associated with development of solution for finance industry and leading financial institution

for a period of five months during January to May. Once guides are allotted to the students, the students should contact the respective guides periodically and get necessary guidance and feedback on the project work. There will be two mid course review presentations on the progress 5 of work. An attendance certificate from the company guide on satisfactory completion of the project work is essential.

The Final Project Report and Viva -Voce examination will be conducted, jointly by External

Examiner and one Internal Examiner (respective Faculty Guide). The list of External Examiners is to be approved by the Dean, School of Management/Ramanujan School of Mathematical Sciences from a panel of External Examiners to be submitted by the HOD/Coordinator of the Programme. Since focus of the each of the project work is different, every candidate is evaluated independently on the merits of the topic, Quantum of work done and major contributions made, etc. Absolute grading is recommended in the place of relative grading while evaluating the final project and viva-voice.

Question Paper Pattern:

The question paper pattern for the theory papers in the End-Semester Written Examinations shall be as

given below: Section A: Five questions are to be answered out of ten questions, each carrying 4 marks: 5 × 3 = 15 marks

Section B: Five questions are to be answered

in either or type . 5 ×9 = 45 marks

Total = 60 marks.

Attendance:

Each student shall obtain 70 per cent attendance to be eligible for appearing for the End - Semester Examination. While submitting the examination form, the students have to get their attendance certificate certified from concerned teacher and faculty advisor.

Grading:

Grading of the marks obtained by the students shall be made as per the norms of Choice Based Credit System (CBCS). The programme committee in the presence of V Nominee will finalize the grades in each paper. 6

PONDICHERRY UNIVERSITY

M.Sc. QUANTITATIVE FINANCE

(CHOICE BASED CREDIT SYSTEM)

Effective from the Academic Year 2019 2020

Non - Credit Bridge Courses Nature of the

Course

Pre

Semester

MSQF 401 Basics of Business and Accounting Hard Core

MSQF 402 Basics of Computer Programming Hard Core

MSQF 403 Basics of Economics Hard Core

MSQF 404 Quantitative Techniques for Beginners Hard Core

Semester Course

Code Title of the Course Nature of

the Course

No. of

Credits

I MSQF 411 Accounting and Financial Analysis Hard Core 3 MSQF 412 Financial Institutions and Markets in India Hard Core 3

MSQF 413 Managerial Economics Hard Core 3

MSQF 414 Probability Distributions Hard Core 3

MSQF 415 Lab I: Financial Statement Analysis (Using Excel) Hard Core 2 MSQF 416 Lab II: Data Analysis Using SPSS Hard Core 2 II

MSQF 421 Portfolio Management Hard Core 3

MSQF 422 Statistical Inference Hard Core 3

MSQF 423 Basic Econometrics Hard Core 3

MSQF 424 Financial Engineering and Derivatives Hard Core 3 MSQF 425 Global Finance and International Banking Hard Core 3

MSQF 426 Financial Management Hard Core 3

MSQF 427 Lab III: Data Analytics using R Hard Core 2

MSQF 428 Lab IV: Technical Analysis Hard Core 2

III MSQF 531 Applied Time Series Analysis and Forecasting Hard Core 3 MSQF 532 Financial Regression Modelling using R Hard Core 3

MSQF 533 Risk Management Hard Core 3

MSQF 534 Corporate Internship and Viva Hard Core 3

MSQF 535* Python for Data Analysis Soft Core 3

MSQF 536* Financial Information System Soft Core 3 MSQF 537* Statistical Techniques for Financial Analyst Soft Core 3

MSQF 538* Optimization Techniques Soft Core 3

MSQF 539* Behavioral Finance Soft Core 3

IV MSQF 541 Contemporary Development in Finance Hard Core 4 MSQF 542 Research Methods for Quantitative Finance Hard Core 3 MSQF 543 Project Work and comprehensive viva voce Hard Core 6 * Any three papers has to be selected 7

BRIDGE

COURSES

8

MSQF 401: BASICS OF BUSINESS AND ACCOUNTING

Unit I: Nature of Business: Manufacturing Services trading Banking Commission Agency,

etc. Types of Organizations Sole trader Partnership Company form Cooperatives. Business

Organist ions Company form Formation Board of Directors Memorandum of Association articles of Association Unit II: Legal aspects of Business : Company Law Provisions Factories Act Competition Law Consumer Protection Law- Law of Contract Sale of Goods Act. Taxes Direct Taxes Indirect Taxes GST Foreign Trade Exports Imports Special Economic Zones EOUs Unit III: Indian Industrial Policy IPRs Public Vs Private Sector Privatization Top Business Houses Product Concentration Entry of MNCs - Institutional facilitating Business

Banks, Markets, Insurance.

Unit IV: Accounting Principles and Conventions - Types of Accounts Personal, Nominal and Real - Journal: Opening Accounts Closing Entries- Subsidiary Books of Accounts Sales Ledger Purchase Ledger- Cash Book Cash with Bank transactions BRS Unit V: Ledger: Features Journal Entries Narration- Trial Balance Debit accounts Credit accounts Balance-Manufacturing and Trading Account Profit and Loss account Preparation of

Balance Sheet Simple adjustments.

Books for Study

1. Bhattacharya. L., (2009): Elements of Financial Accounting, PH1 Learning, New Delhi.

Books for Reference

1. Akhileshwar Pathak (2007): Legal Aspects of Business, 2/ e., Tata Mc Graw-Hill, New Delhi

Publishing, New Delhi

2. Dearden , J and S.K. Bhattacharya(1997): Accounting for Management, (1997) 3/e.Vikas Publishing

House,New Delhi.

3. Prasad L M (2001): Principles and Practice Of Management, Chand and Company Ltd., New Delhi.

4. Rustomji .M.K, (2005):All about Balance sheets, Mac Millan.

9

MSQF 402: BASICS OF COMPUTER

Unit I: Introduction to Computer Programming

Introduction to Computer programmes and programming languages - Programme Types - Overview of

Problem Solving Techniques

Unit II: Introduction to Excel

Introduction to Excel - Excel menu and options Excel interface Basic navigation and Editing

Unit III: Basics of R

Data types, objects, vectors, sequence, lists, arrays, Defining matrices and performing basic matrix

operations, Creating data frames reading files of different file formats data editor to create a data frame.

Unit IV: Fundamental of SPSS

Descriptive statistics, correlation Fundamental of SPSS, reading different file formats, data editing features and summary statistics.

Unit V: Introduction to EVIEWS, GRETL and STATA

Introduction to the - its menu and options simple graph and calculations in Eviews, Gretl and Stata

Books for Study

1. -

Hill Edition

2. Ellis Horowitz , (1998): Fundamentals of Programming Language, Galgotia Publications 1998

Books for Reference

1. Anderson. R.D., Sweeney.J.D .,Williams A,(2002): Statistics for Business & Economics, 8/e,

Thompson Asia Pvt, Ltd

2. Heinz, Kohleer (2001): Statistics for Business & Economics, 1/e,Harper Collins, New York

3. Landau, S. and Everitt, B. S. (2004) , A Handbook of Statistical Analyses using SPSS, Chapman

and Hall/CRC.

4. Sankar Kumar Bhaumik (2015), Principles of Econometrics: A Modern Approach Using EViews ,

Oxford University Press; UK ed

10

MSQF 403: BASICS OF ECONOMICS

Unit I: Scope and Methodology of Economics: What economics is about Micro and Macro Economics Methodology of Economics Central problem of an Economy Capitalist economic system

Role of Price Mechanism.

Unit II: Theory of Demand, Production and Cost: Demand and Law of Demand Factors and theory of Production Production function with one variable, two variable inputs - Cost theory and estimation cost of production and cost curve . Unit III: Theory of Firm : Equilibrium of a Firm Pricing practices Price Discrimination Price

determination under different market condition Characteristics of different market structure Perfect

and imperfect competition. Unit IV: Modern Macroeconomics: Theory of Income -IS-LM Curve model - Employment Monetary Demand and Supply - Money Prices and Inflation Business cycle and Macroeconomic policies

Government and Macro economy Open Economy.

Unit V: Development Economics : Theories of Growth Factors Determining Economic growth and Development Population Growth and Development Economics Capital Formation Role of Education and Economic Development - Employment and unemployment Poverty and Inequality economic reform , Structural adjustment and growth.

Books for Study

1. John B.Taylor, (1997): Economics, AITBS publications.

2. Mankiw N Gregory (2014), Principle of Economics, 7 / e ,South-Western College Publishing.

Books for References:

1. Ahuja H.L.(2008):Modern Economics, Sultan Chand, New Delhi

2. Jhingan.M.C.(2009): Microeconomic Theory Vrindha Pub(p) Ltd., New Delhi

3. Koutsoyiannis, A.(2000): Modern Microeconomics, 2 /e, Macmillan Press,London.

4. Richard.T.Froyen (2003): Macro Economics: Theories and Policies, Pearson Education.

5. Stigler, G.(1996): Theory of Price, PHI, New Delhi.

11

MSQF 404: QUANTITATIVE TECHNIQUES FOR BEGINEERS

Unit-1

Definition of statisticsmeasures of central tendency- measures of dispersion-moments- Skewness and kurtosis and their measures. Bivariate data Rank correlation - normal Distribution- Concept of Regression, regression coefficients

Unit-II

Random Experiment: Sample space, Different types of events - Definition of probability: Classical and

relative-frequency approach to probability - Addition and multiplication theorem on Probability

(statements only) - Conditional probability and Independence of events.

Unit-III

Random variable - discrete and continuous random variables - probability mass function and probability

density function - Distribution Function and its properties - expectation, variance - moment generating

function and characteristic function - Concept of conditional distributions and conditional expectation.

Unit-IV

Linear Programming Problem (LPP) various solutions - graphical method of solving LPP- simplex

algorithm simple problems.

Unit-V

Differentiation standard forms- product rule- quotient rule chain rule Maxima , Minima Matrices, Determinants , Properties of determinants rank of a matrix- inverse of a matrix

Books for Study

1. Das, N. G. (2014): Statistical Methods, Volume I and II, McGraw Hill Education.

2. Hooda, R. P. (2013): Statistics for Business and Economics, fifth /e, Vikas publishing house PVT

Ltd.

3. Irwin Miller and Marylees Miller (2014): Mathematical Statistics with applications, 8/e, Pearson.

4. Medhi.J. (1992): Statistical Methods an Introductory Text , Wiley Eastern Ltd.

5. S. Narayanan, Manicavachagom pillay. T.K. (1997), Calculas-I, S,Viswanathan Printers & publishers

S.Arumugam (2003): Modern Algebra, Scitech Publishers.

Books for Reference

1. Goon Gupta and Das Gupta (1986): Fundamentals of Statistics, 5/e , The World Press.

2. Prakasa Rao, B.L.S. (2011): A First Course in Probability and Statistics, World Scientific

publication.

3. Prakasa Rao, B.L.S. (2011): A First Course in Probability and Statistics, World Scientific

publication.

4. Rohatgi, V.K. and Ebsanes Saleh, A.K. Md. (2002) : An introduction to Probability and

Statistics, 2/e., John Wiley & Sons, Inc.

5. Sharma .A.K, (2005): Text Book of Elementary Statistics, Discovery Publishing House.

12

SEMESTER I

13 MSQF 411: ACCOUNTING AND FINANCIAL ANALYSIS CREDITS: 3

Objectives

™ To acquaint the students with the fundamentals principles of Financial, Cost and Management

Accounting

™ To enable the students to prepare, Analyse and Interpret Financial Statements ™ To enable the students to take decisions using Management Accounting Tools ™ Understand the automated accounting system Apply Tally.ERP 9 in maintaining books of accounts and generating reports

Unit I: Financial Accounting:

Accounting Concepts and Conventions Recording of Business Transactions Double Entry System Journal Ledger Trail Balance Preparation of Final accounts.

Unit II: Joint Stock Company Accounts:

Final Accounts of Companies (Format only) Banking Company accounts Preparation of Final Accounts of Banking Companies- Non-Performing Assets Asset Classification and Provisioning Norms

Unit III: Financial Statement Analysis

Financial Analysis Tools of Financial Analysis Ratio Analysis Computation and Interpretation of Ratios -Preparation of Funds Flow Statement Preparation of Cash Flow statement Evaluation of Funds and cash Flow analysis

Unit IV: Marginal Costing and Budgeting

Cost-Volume-Profit analysis Application of Marginal Costing Technique - Budgetary Control and

Standard Costing: Budgets and Budgetary Control Preparation of Budgets Standard Costing and

Variance Analysis Material Cost Variance and Labour Variance Utility of Variance Analysis.

Unit V: Computer Based Accounting: Tally

Introduction to Tally - General features- Accounting features- Inventory features- Preparation of Ledger

accounts on Tally - Preparation of Invoices- subsidiary books - Display- of final accounts - Ratios

(Practice sessions: 10)

Books for Study

1. Bhushan Kumar Goyal (2018): Basic Financial Accounting

2. R.S.N. Pillai and V. Bagavathi (2010): Management Accounting, S. Chand, New Delhi.

3. Maheswary, S. N. (2014): Management Accounting, Sultan Chand & Sons, New Delhi.

4. Soumya Ranjan Behera (2014) Learn Tally.ERP, BK Publications, Bhubaneswar

Books for Reference

1. Ambrish Gupta (2018) Financial Accounting for Management: An Analytical Perspective, Pearson

Education, New Delhi.

2. Jain S P and K L Narang (2011): Advanced Accounts, Kalyani Publishers, Ludhiana.

3. S. N. Maheshwari (2018): Financial Accounting, Vikas Publishing

14 MSQF 412: FINANCIAL INSTITUTIONS AND MARKETS CREDITS: 3

Objectives

¾ To get an insight into the constitutions, structure, objectives, performance and working of the Banking Institutions in India and their contribution to the growth of Indian Corporate Sector.

System.

Unit I: Introduction to Indian Financial System

Money and finance Money and near-money Financial intermediation and financial intermediaries

The structure of the financial system Functions of the financial sector Indicators of financial

development Equilibrium in Financial Markets Financial System and Economic Development

Criteria to evaluate assets; Risk and financial assets, types of risk, return on assets, Risk Return trade off

Valuation of Securities.

Unit II: Money and Capital Markets

Role and structure of money market and capital market Call money market, Treasury bill market,

Commercial bill market including commercial paper and certificate of deposits, Discount market

Government securities market Markets for derivatives; futures and options, and other derivatives; types,

uses and pricing of derivatives Primary and secondary market for securities; SEBI: its impact on the working of capital market in India; IRDA and its role in financial markets.

Unit III: Foreign Exchange Market

Exchange rate types determination of exchange rate nature of forex market - nature of forex inflow and outflow Current account and Capital account convertibility- ECBs and NREs

RBI and exchange rate management

Unit IV: Merchant bankers:

Merchant Banking in India-Functions- SEBI guidelines for Merchant Bankers - Role of merchant bankers

in fund raising -Managing public issue- Pre and Post issue Book Building - private placement-raising of

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