Asset Pricing

Program Type:

Thesis

Non Thesis

Course Code:

FE 515

P:

3

Lab:

0

Credits:

3

ECTS:

10

Course Objectives:

The main aim of the course is to make asset pricing researches and to teach them. This course covers single period, discrete time, and continuous time models for classical results. Until midterm, single period and discrete time models will be based. After the visa, continuous time models will be processed. The main contribution of the course to the student is the acquisition of methods for determining the most appropriate trading price levels for non-core assets.

Course Content:

The topics of the course are as follows: Utility Functions and Portfolio Selection, Stochastic Discount Factors, Equilibrium, Efficiency and Pareto Optimality, Mean-Variance Analysis, Factor Models, Dynamic Collateral Markets, Dynamic Portfolio Selection and Dynamic Asset Pricing, Brownian Motion and Stochastic Calculus, Continuous Time Markets, Continuous Time Portfolio Selection, Option Pricing, Forwards, Futures, and Other Option Pricing, Real Options and Theory q

Teaching Methods:

1: Lecture, 2: Question-Answer, 3: Discussion, 4: Simulation, 5: Case Study

Assessment Methods:

A: Testing, B: Experiment, C: Homework, Q: Quiz

Vertical Tabs

Course Learning Outcomes

Learning Outcomes	Programme Learning Outcomes	Teaching Methods	Assessment Methods


Definition and modeling of analytical models, financial risk factors	1,2,3,5	1,2,3	A, C
Understanding discount factors and optimality	1,2,3,5	1,2,3	A, C
Mean-variance analysis, portfolio selection and acquisition of pricing logic in dynamic models	1, 5	1,2,3	A, C
Understanding and applying continuous time models	1, 5	1,2,3	A, C
Acquisition of options, forwards, futures, and other option pricing techniques	1, 2, 5	1,2,3	A, C
Understanding Q theory	1, 2, 5	1,2,3	A, C
Acquisition of asset pricing techniques with machine learning	1, 2, 5	1,2,3	A, C

Course Flow

COURSE CONTENT
Week	Topics	Study Materials
1	Utility Functions and Portfolio Selection	Chapter 1
2	Stochastic Discount Factors	Chapter 2
3	Equilibrium, Efficiency and Pareto Optimality	Chapter 3
4	Mean-Variance Analysis	Chapter 4
5	Factor Models	Chapter 5
6	Dynamic Collateral Markets	Chapter 6
7	Midterm Exam	Chapter 7
8	Dynamic Portfolio Selection and Dynamic Asset Pricing	Chapter 8
9	Brownian Motion and Stochastic Calculus	Chapter 9
10	Continuous Time Markets
11	Continuous Time Portfolio Selection	Chapter 10
12	Option Pricing	Chapter 11
13	Forwards, Futures, and Other Option Pricing	Chapter 12
14	Real Options and Theory q
15	Final sınavı	All Content

Recommended Sources

RECOMMENDED SOURCES
Textbook			- Asset Pricing and Portfolio Choice Theory, 2017, Kerry E. Back, Oxford University Press - Empirical Asset Pricing Models and Methods, Wayne Ferson, The MIT Press, 2019
Additional Resources			Course Notes Course website, lecture notes, financial markets laboratory, financial calculator, online resources, excel type software.

Material Sharing

MATERIAL SHARING
Documents			Guidelines and additional examples for Lecture Topics and Homework Assignments
Assignments			Homework assignments
Exams			Midterm Exam and Final Exam

Assessment

ASSESSMENT
IN-TERM STUDIES	NUMBER	PERCENTAGE
Mid-Term	1	20
Class Performance	6	20
Final Exam	1	60
	Total	100
CONTRIBUTION OF FINAL EXAMINATION TO OVERALL GRADE		40
CONTRIBUTION OF IN-TERM STUDIES TO OVERALL GRADE		60
	Total	100

Course’s Contribution to Program

COURSE'S CONTRIBUTION TO PROGRAMME
No	Program Learning Outcomes	Contribution
No	Program Learning Outcomes	1	2	3	4	5
1	To comprehend the basic principles of finance and to be able to apply these principles in national and international areas.					X
2	To use modern information technologies and current financial tools effectively.				X
3	To comprehend the ethical rules and social responsibility understanding accepted by financial professional organizations and to apply them in the decisions to be taken.		X
4	To have the infrastructure that will enable them to do business in multicultural, multilingual and interdisciplinary environments.			X
5	To have information about the markets and the functioning of the markets and to analyze the developments in these markets.			X
6	To recognize the management tools and models specific to multinational companies and to be able to apply them where necessary.
7	To understand the structure of the global economic system and to analyze how new developments will affect this structure.
8	To be able to use the ability of critical thinking in the decision making process.		X
9	To transfer the acquired leadership, teamwork and communication skills to the lifelong learning process.
10	To be able to manage the process with analytical and creative approaches by anticipating the opportunities and problems that dynamic working conditions may create.

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	96
Homework	6	10	60
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

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