ECTS - Mathematics of Financial Derivatives
Mathematics of Financial Derivatives (MATH316) Course Detail
| Course Name | Course Code | Season | Lecture Hours | Application Hours | Lab Hours | Credit | ECTS |
|---|---|---|---|---|---|---|---|
| Mathematics of Financial Derivatives | MATH316 | Area Elective | 3 | 0 | 0 | 3 | 6 |
| Pre-requisite Course(s) |
|---|
| MATH136 |
| Course Language | English |
|---|---|
| Course Type | Elective Courses |
| Course Level | Bachelor’s Degree (First Cycle) |
| Mode of Delivery | Face To Face |
| Learning and Teaching Strategies | Lecture, Question and Answer, Drill and Practice. |
| Course Lecturer(s) |
|
| Course Objectives | Mathematical modelling of finance is a new area of application of mathematics; it is expanding rapidly and has great importance for world financial markets. The course is concerned with the valuation of financial instruments known as derivatives. The course aims to enable students to acquire active knowledge and understanding of some basic concepts in financial mathematics including stochastic models for stocks and pricing of financial derivatives. |
| Course Learning Outcomes |
The students who succeeded in this course;
|
| Course Content | Introduction to options and markets, European call and put options, arbitrage, put call parity, asset price random walks, Brownian motion, Ito?s Lemma, derivation of Black-Scholes formula for European options, Greeks, options for dividend paying assets, multi-step binomial models, American call and put options, early exercise on calls and puts on a |
Weekly Subjects and Releated Preparation Studies
| Week | Subjects | Preparation |
|---|---|---|
| 1 | Introduction to Options and Markets, Probability | pp. 1-13 Other source 2: pp. 1-25 |
| 2 | Brownian motion (Weiner Process), Geometric Brownian Motion | Other source 2: pp. 26-35 |
| 3 | Asset price random walks, Ito’s Lemma | pp. 18-30 |
| 4 | One step and multi-step binomial model for option pricing | pp. 180-187 |
| 5 | European call and put options. Payoffs and strategies, No arbitrage principle | pp. 33-40 |
| 6 | Black-Scholes equation, Final and boundary conditions | pp. 41-48 |
| 7 | Problem solving and review | |
| 8 | Midterm | |
| 9 | Greeks, Hedging | pp. 51-52 |
| 10 | Options for dividend payoff assets | pp. 90-97 |
| 11 | American call and put options, early exercise on calls and puts on a non-dividend-paying stocks | pp. 106-108 |
| 12 | American options as the free boundary value problems | pp. 109-120 |
| 13 | Exotic options | pp. 195-209 |
| 14 | Interest rate models. | pp. 263-268 |
| 15 | Problem solving and review | |
| 16 | Final Exam |
Sources
| Course Book | 1. The Mathematics of Financial Derivatives: A student introduction, P. Wilmott,S. Howison and J. Dewynne, Cambridge University Press, 1995. |
|---|---|
| Other Sources | 2. Options, Futures and Other Derivatives, J. Hull, Prentice Hall, 2006. |
| 3. . An Elementary Introduction to Mathematical Finance. Options and Other Topics. (Second Edition), by Sheldon M. Ross, Cambridge University Press, 2003, | |
| 4. An Introduction to the Mathematics of Financial Derivatives, by Salih N. Neftci, Academic Press, 2000. |
Evaluation System
| Requirements | Number | Percentage of Grade |
|---|---|---|
| Attendance/Participation | - | - |
| Laboratory | - | - |
| Application | - | - |
| Field Work | - | - |
| Special Course Internship | - | - |
| Quizzes/Studio Critics | - | - |
| Homework Assignments | 5 | 20 |
| Presentation | - | - |
| Project | - | - |
| Report | - | - |
| Seminar | - | - |
| Midterms Exams/Midterms Jury | 1 | 35 |
| Final Exam/Final Jury | 1 | 45 |
| Toplam | 7 | 100 |
| Percentage of Semester Work | 55 |
|---|---|
| Percentage of Final Work | 45 |
| Total | 100 |
Course Category
| Core Courses | X |
|---|---|
| Major Area Courses | |
| Supportive Courses | |
| Media and Managment Skills Courses | |
| Transferable Skill Courses |
The Relation Between Course Learning Competencies and Program Qualifications
| # | Program Qualifications / Competencies | Level of Contribution | ||||
|---|---|---|---|---|---|---|
| 1 | 2 | 3 | 4 | 5 | ||
| 1 | They acquire the skills to understand, explain, and use the basic concepts and methods of economics. | |||||
| 2 | Acquires macro-economic analysis skills. | |||||
| 3 | Acquire microeconomic analysis skills. | |||||
| 4 | Understands the formulation and implementation of economic policies at local, national, regional and/or global levels. | |||||
| 5 | Learn different approaches to the economy and economic issues. | |||||
| 6 | Learn qualitative and quantitative research techniques in economic analysis. | X | ||||
| 7 | Improving the ability to use modern software, hardware and/or other technological tools. | |||||
| 8 | Develops intra-disciplinary and inter-disciplinary team work skills. | X | ||||
| 9 | Contributes to open-mindedness by encouraging critical analysis, discussion, and/or lifelong learning. | |||||
| 10 | Develops a sense of work ethics and social responsibility. | |||||
| 11 | Develops communication skills. | |||||
| 12 | Improving the ability to effectively apply knowledge and skills in at least one of the following areas: Economic policy, public policy, international economic relations, industrial relations, monetary and financial relations | X | ||||
ECTS/Workload Table
| Activities | Number | Duration (Hours) | Total Workload |
|---|---|---|---|
| Course Hours (Including Exam Week: 16 x Total Hours) | |||
| Laboratory | |||
| Application | |||
| Special Course Internship | |||
| Field Work | |||
| Study Hours Out of Class | 14 | 3 | 42 |
| Presentation/Seminar Prepration | |||
| Project | |||
| Report | |||
| Homework Assignments | 5 | 10 | 50 |
| Quizzes/Studio Critics | |||
| Prepration of Midterm Exams/Midterm Jury | 1 | 16 | 16 |
| Prepration of Final Exams/Final Jury | 1 | 22 | 22 |
| Total Workload | 130 | ||