Students' understanding of the functioning of financial derivatives markets
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.).
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 |
|
50 |
CONTRIBUTION OF IN-TERM STUDIES TO OVERALL |
|
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. | X | ||||
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 |
16 |
3 |
48 |
|
Hours for off-the-classroom study (Pre-study, practice, |
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 |