ECTS - Computational Methods of Mathematical Finance

Computational Methods of Mathematical Finance (MATH417) Course Detail

Course Name Course Code Season Lecture Hours Application Hours Lab Hours Credit ECTS
Computational Methods of Mathematical Finance MATH417 Area Elective 2 0 2 3 6
Pre-requisite Course(s)
MATH316
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, Problem Solving.
Course Coordinator
Course Lecturer(s)
Course Assistants
Course Objectives The goal of the course is to introduce the students to numerical methods in finance and option theory.
Course Learning Outcomes The students who succeeded in this course;
  • learn the finite difference methods for valuation of European options
  • understand the numerical methods for American options
  • know the methods for random number generation
  • understand option pricing by Monte Carlo simulation
Course Content Introduction to MATLAB, finite difference formulae, the explicit and implicit finite difference methods, The Crank-Nicolson method, European option pricing by the heat equation, pricing by the Black-Scholes equation, pricing by an explicit, an implicit and Crank-Nicolson method, pricing American options, projected SOR and tree methods, pseudo-rando

Weekly Subjects and Releated Preparation Studies

Week Subjects Preparation
1 Introduction to MATLAB pp. 263-286
2 Finite difference formulae pp. 195-199
3 The explicit finite difference method pp. 203-214
4 The fully implicit method pp. 215-219
5 The Crank-Nicolson method pp. 220-225
6 European option pricing by the heat equation pp. 226-233
7 Problem solving and review
8 Midterm Exam
9 Pricing by the Black-Scholes equation pp. 234-244
10 Pricing American options, Projected SOR and tree methods pp. 245-262
11 Pseudo-Random numbers, Inverse transform method pp. 140-148
12 Acceptance-Rejection and Box-Muller methods, The polar method of Marsaglia pp. 149-155
13 Monte Carlo integration pp. 160-165
14 Option pricing by Monte Carlo simulation pp. 166-178
15 Problem solving and review
16 Final Exam

Sources

Course Book 1. An Introduction to Computational Finance, Ö. Uğur, Imperial College Press, 2009.
Other Sources 2. Options, Futures and Other Derivatives, J. Hull, Prentice Hall, 2006.
3. The Mathematics of Financial Derivatives: A student introduction, P. Wilmott,S. Howison and J. Dewynne, Cambridge University Press, 1995.

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) 16 2 32
Laboratory 16 2 32
Application
Special Course Internship
Field Work
Study Hours Out of Class 14 3 42
Presentation/Seminar Prepration
Project
Report
Homework Assignments 5 8 40
Quizzes/Studio Critics
Prepration of Midterm Exams/Midterm Jury 1 12 12
Prepration of Final Exams/Final Jury 1 20 20
Total Workload 178