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 Lecturer(s) |
|
| 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;
|
| 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 | 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 | 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 | ||