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Program Type: 
Thesis
Non Thesis
Course Code: 
FE 504
Semester: 
Spring
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; There are numeric methods used to price exotic options (Asian, lookback, spread, etc.) in the Black-Scholes-Merton model. Introduction to options, forward foreign exchange and futures markets; determinants of option values; Portfolio strategies using options, trading parity, cash and futures parity, early execution, binominal model, Black-Scholes model, option deltas and elasticities, futures to reduce delta currency risk

Teaching Methods: 
1: Lecture, 2: Question-Answer, 3: Discussion, 4: Simulation, 5: Case Study
Assessment Methods: 
A: Testing, B: Presentation C: Homework, D: Project, E: Laboratory

Vertical Tabs

Course Learning Outcomes

Learning Outcomes Programme Learning Outcomes Teaching Methods Assessment Methods
Pricing of derivative products 1,2,3 1,2,3 A, C
Provides dominance on cash and forward parity issues 1,2,3 1,2,3 A, C
Risk reduction techniques with derivative instruments 1, 5 1,2,3 A, C
Derivative pricing with continuous time diffusion models 1, 5 1,2,3 A, C
Application of numerical methods in derivative pricing 1, 2, 5 1,2,3 A, 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 Volatility  
12 Numerical Methods  
13 Alternative option pricing techniques  
14 Final Exam  

Recommended Sources

RECOMMENDED SOURCES
Textbook Options, futures and other derivatives: John C. Hull
Additional Resources  

Assessment

ASSESSMENT
IN-TERM STUDIES NUMBER PERCENTAGE
Mid-Term 1 60
Class Performance 2 20
Homeworks 12 20
  Total 100
CONTRIBUTION OF FINAL EXAMINATION TO OVERALL
GRADE
  50
CONTRIBUTION OF IN-TERM STUDIES TO OVERALL
GRADE
  50
  Total 100
 
COURSE CATEGORY Expertise/Field Courses

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 internalized in the fields of Economics, Finance, Statistics and Computer Science in interdisciplinary studies and produces different fields of application.     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 he is involved in business life, he is expected to blend his knowledge in different fields with his differences and competencies and reflect them to his individual career.   X      
5 With his English proficiency, he follows the knowledge and developments in his field at an international level and communicates with his colleagues.     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)
2 4 64
Homework 12 6 72
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