ECTS - Introduction to Mathematical Finance
Introduction to Mathematical Finance (MATH313) Course Detail
| Course Name | Course Code | Season | Lecture Hours | Application Hours | Lab Hours | Credit | ECTS |
|---|---|---|---|---|---|---|---|
| Introduction to Mathematical Finance | MATH313 | 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, Problem Solving. |
| Course Lecturer(s) |
|
| Course Objectives | The main aim of this course is to provide students with a solid grounding in compound interest theory and experience of its application to the analysis of complex financial transactions. The compound interest model is developed in detail, and is applied to mortgage and commercial loans, to consumer credit transactions, to the valuation of securities, and to the measurement of investment performance. The term structure of interest rates is also covered. Uncertainty about future interest rates is modeled by assuming that future interest rates are random variables. |
| Course Learning Outcomes |
The students who succeeded in this course;
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| Course Content | Introduction to theory of interest: simple and compound interest, time value of money, rate of interest, rate of discount, nominal rates, effective rates, compound interest functions, generalized cash flow modelling, loans, present value analysis, accumulated profit, and internal rate of return for investment projects, annuities, perpetuities, meas |
Weekly Subjects and Releated Preparation Studies
| Week | Subjects | Preparation |
|---|---|---|
| 1 | Introduction to theory of interest: Simple and compound interest | Book1-pp. 1-7 |
| 2 | Time value of money, Nominal rates, effective rates, rate of discount | 1.Kitap -s. 10-13 |
| 3 | Force of interest | Book 1-pp. 14-17 |
| 4 | Cash flows and Present value analysis | Book 1-pp. 18-25 |
| 5 | The equation of value, yields, annuities | Book 1-pp. 36-54 |
| 6 | Loan Schedules | Book 1-pp. 55-61 |
| 7 | Annuities payable pthly | Book 1-pp. 66-72 |
| 8 | Net present values and yields | Book 1-pp. 86-93 |
| 9 | The comparison investment projects , bonds | Book 1-pp. 107-114 Other Source: 223-236 |
| 10 | Probability | Book 2-pp. 1-31 |
| 11 | Geometric Brownian motion | Book 2-pp. 32-37 |
| 12 | Stochastic interest rates | Book 1-pp. 269-286 |
| 13 | Arbitrage and forward contracts | Book 2-pp.63-70 |
| 14 | The term structure of interest rates | Other source: 301-320 |
| 15 | Problem solving and review | |
| 16 | Final Exam |
Sources
| Course Book | 1. An Introduction to Mathematics of Finance, J. J. McCutcheon and W. Scott, 1986. |
|---|---|
| 2. An elementary introduction to mathematical finance, Options and other topics, Sheldon M. Ross, Cambridge University Press, 2003. | |
| Other Sources | 3. Mathematics of Investment and Credit, Samuel A. Broverman, ACTEX, 2010. |
Evaluation System
| Requirements | Number | Percentage of Grade |
|---|---|---|
| Attendance/Participation | - | - |
| Laboratory | - | - |
| Application | - | - |
| Field Work | - | - |
| Special Course Internship | - | - |
| Quizzes/Studio Critics | - | - |
| Homework Assignments | 3 | 7 |
| Presentation | - | - |
| Project | - | - |
| Report | - | - |
| Seminar | - | - |
| Midterms Exams/Midterms Jury | 2 | 50 |
| Final Exam/Final Jury | 1 | 35 |
| Toplam | 6 | 92 |
| Percentage of Semester Work | 65 |
|---|---|
| Percentage of Final Work | 35 |
| 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 | Acquiring the skills of understanding, explaining, and using the fundamental concepts and methods of economics | |||||
| 2 | Acquiring the skills of macro level economic analysis | |||||
| 3 | Acquiring the skills of micro level economic analysis | |||||
| 4 | Understanding the formulation and implementation of economic policies at the local, national, regional, and/or global level | |||||
| 5 | Learning different approaches on economic and related issues | |||||
| 6 | Acquiring the quantitative and/or qualitative techniques in economic analysis | X | ||||
| 7 | Improving the ability to use the modern software, hardware and/or technological devices | |||||
| 8 | Developing intra-disciplinary and inter-disciplinary team work skills | X | ||||
| 9 | Acquiring an open-minded behavior through encouraging critical analysis, discussions, and/or life-long learning | |||||
| 10 | Adopting work ethic and social responsibility | |||||
| 11 | Developing the skills of communication. | |||||
| 12 | Improving the ability to effectively implement the knowledge and skills in at least one of the following areas: economic policy, public policy, international economic relations, industrial relations, monetary and financial affairs. | X | ||||
ECTS/Workload Table
| Activities | Number | Duration (Hours) | Total Workload |
|---|---|---|---|
| Course Hours (Including Exam Week: 16 x Total Hours) | 16 | 3 | 48 |
| Laboratory | |||
| Application | |||
| Special Course Internship | |||
| Field Work | |||
| Study Hours Out of Class | 14 | 3 | 42 |
| Presentation/Seminar Prepration | |||
| Project | |||
| Report | |||
| Homework Assignments | 5 | 6 | 30 |
| Quizzes/Studio Critics | |||
| Prepration of Midterm Exams/Midterm Jury | 2 | 10 | 20 |
| Prepration of Final Exams/Final Jury | 1 | 10 | 10 |
| Total Workload | 150 | ||