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Program Type: 
Thesis
Non Thesis
Course Code: 
FE 506
P: 
3
Lab: 
0
Credits: 
3
ECTS: 
10
Course Objectives: 

It provides students with basic knowledge of stochastic processes in financial economics and the ability to analyze and use these models in solving real-life problems.

Course Content: 

Financial problems as dynamical systems; simulation as a solution procedure for complex dynamic models; complex nonlinear dynamic phenomena; stochastic dynamic models; system dynamics methodology; stock-flow modeling; policy design and improvement by simulation experiments; financial strategy applications and cases.

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
Gains the ability to understand continuous and intermittent time stochastic processes in financial economics. 1,2,3,5 1,2,3 A, C
Gains the ability to read, understand and analyze academic articles in which new models and techniques are presented. 1,2,3,5 1,2,3 A, C
The ability to use econometric software programs in the solution of stochastic models and their application to financial problems is provided.  1, 5 1,2,3 A, C

Course Flow

COURSE CONTENT
Week Topics Study Materials
1 Introduction to stochastic processes  
2 Stationarity, autocorrelation and partial autocorrelation  
3 AR(p) models  
4 MA(q) models  
5 ARMA(p,q) models  
6 Nonstationary time series models  
7 Midterm Exam  
8 Nonstationary time series models  
9 Introduction to conditional volatility models  
10 ARCH models and features  
11 GARCH models and features  
12 Estimation methods with conditional volatility models  
13 CAR(p) models  
14 CARMA(p,q) models  
15 Final  

Recommended Sources

RECOMMENDED SOURCES
Textbook P.J. Brockwell and R.A. Davies : Time series – theory and methods
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 30
Class Performance 1 30
Final Exam 1 40
  Total 100
CONTRIBUTION OF FINAL EXAMINATION TO OVERALL
GRADE
  40
CONTRIBUTION OF IN-TERM STUDIES TO OVERALL
GRADE
  60
  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 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 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.   X      
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 5+1(Proje) 60 60
Mid-term  1 10 20
Final 1 15 30
Total Work Load     254
Total Work Load / 25 (h)     10.16
ECTS Credit of the Course     10