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 | 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) | |||
| 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 | ||