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Program Type: 
Thesis
Course Code: 
FE 604
P: 
3
Lab: 
0
Credits: 
3
ECTS: 
10
Course Language: 
English
Course Objectives: 

Students' understanding of the functioning of financial derivatives markets

Course Content: 

This course is designed to equip students with theoretical and numeric methods used to price derivative instruments exchanged in stock, exchange, foreign exchange and bond markets. Among the topics covered; The Black-Scholes-Merton model has numeric methods used to price exotic options (Asian, lookback, spread, etc.).

Teaching Methods: 
1: Lecture, 2: Question-Answer, 3: Discussion
Assessment Methods: 
A: Testing, B: Presentation C: Homework

Vertical Tabs

Course Learning Outcomes

Course Learning Outcomes Program Learning Outcomes Teaching Methods Assessment Methods
Pricing of derivative products   1,2,3 A,B,C
Provides dominance on cash and forward parity issues   1,2,3 A,B,C
Risk mitigation techniques with derivative instruments   1,2,3 A,B,C
Derivative pricing with continuous time diffusion models   1,2,3 A,B,C
Application of numerical methods in derivative pricing   1,2,3 A,B,C

Course Flow

Course Content  
Week  Topics Study Materials
1 Introduction  
2 Forward and future agreements  
3 Swap markets and pricing methods  
4 Introduction to options markets  
5 Option pricing with binomial method  
6 Markov and Wiener processes, Ito lemma  
7 Midterm  
8 Black-Scholes-Merton Model  
9 Index, currency and future options  
10 Greek letters  
11 Volatilite  
12 Numerical methods  
13 Alternative option pricing techniques  
14 An review  
15 An review  
16 Final   

Recommended Sources

RESOURCES  
Course Notes Options, futures and other derivatives: John C. Hull
Others  

Assessment

ASSESSMENT

IN-TERM STUDIES

NUMBER

PERCENTAGE

Mid-Term

1

60

Assignment

12

20

Quizes

2

20

 

Total

100

CONTRIBUTION OF FINAL EXAMINATION TO OVERALL
GRADE

 

50

CONTRIBUTION OF IN-TERM STUDIES TO OVERALL
GRADE

 

50

 

Total

100

Course’s Contribution to Program

COURSE'S CONTRIBUTION TO PROGRAMME
No Program Learning Outcomes Contribution
1 2 3 4 5
1 It uses the knowledge and skills it has absorbed in the fields of Economics, Finance, Statistics and Computer Science in interdisciplinary studies and produces different application areas.        X  
2 With the awareness of lifelong learning and questioning, it follows national and international publications; It is expected to expand the limit of knowledge with scientific articles by reaching the level of preparing works in accordance with academic rules.     X      
3 Designs, implements, solves and interprets analytical, modeling and empirical research; This way it makes predictions.     X        
4 When she is involved in business life, she is expected to blend her knowledge in different fields with her differences and competencies and reflect them to her individual career.        
5 Being aware of the ethical values, students know the individual, social and ecological dimensions of the concept of social responsibility and can prove that they understand the active citizenship duty that falls upon them within this framework.       X    
6 Uses computer software and information and communication technologies required by related fields at an advanced level.      X     

ECTS

ECTS ALLOCATED BASED ON STUDENT WORKLOAD BY THE COURSE DESCRIPTION

 
 

Activities

Quantity

Duration (Hour)

Total Workload (Hour)

 

Course Duration (Including the exam week: 15x Total
course hours/week)

16

3

48

 

Hours for off-the-classroom study (Pre-study, practice,
review/week)

16

4

64

 

Homework

12

6

72

 

Quizes

2

10

20

 

Mid-term

1

20

20

 

Final

1

30

30

 

Total Work Load

 

 

254

 

Total Work Load / 25 (h)

 

 

10,16

 

ECTS Credit of the Course

 

 

10