| Course Type | Elective Course |
|---|
| Course Level | Doctorate Of Science |
|---|
| Year of Study | - |
|---|
| Semester | - |
|---|
| ECTS | 15 |
|---|
| Name of Lecturer(s) |
|
| Learning Outcomes |
At the end of this course, the students;
- Understand the types of derivatives, their payoff functions, their developments, and the economic roles they play in the financial markets.
- Apply the advanced risk management and trading strategies using derivatives.
- Understand no-arbitrage principle and its role in pricing financial forwards and futures.
- Learn the design and pricing of a forward rate agreement; understand the payoff of a Eurodollar futures; understand the design of swaps and how to determine the swap rate by using no-arbitrage principle.
- Describe the put-call parity and other pricing relations between calls and puts using noarbitrage principle.
- Understand extensively the binomial approach in pricing European and American options.
- Apply the Black-Scholes option formula for the price of a European option and its Greeks. Understand the idea of delta-hedging.
- Understand the application of option pricing theory in the area of financial engineering and corporate finance.
|
| Mode of Delivery | Face to face |
|---|
| Prerequisites | No |
|---|
| Recommended Optional Programme Components | MAND636 FINANCIAL MANAGEMENT |
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| Course Description | In scope of this marketing course students will learn about, general information about futures market, financial tools operating in futures market, purchase-sale strategies and future exchange markets in the World.
Lastly attendees will learn structure and operation of derivatives and options market and also they will comprehend agreements in options market. |
|---|
| Course Contents |
| WEEK |
TOPICS |
|
1st Week |
Introduction |
|
2nd Week |
Hedging Strategies Using Futures |
|
3rd Week |
Determination of Forward and Futures Prices |
|
4th Week |
Swaps |
|
5th Week |
Mechanics of Options Markets |
|
6th Week |
Properties of Stock Options |
|
7th Week |
Binomial Trees |
|
8th Week |
Wiener Processes and Ito's Lemma |
|
9th Week |
The Black-Scholes-Merton Model |
|
10th Week |
Greek Letters |
|
11th Week |
Case Study |
|
12th Week |
Case Study |
|
13th Week |
Value at Risk |
|
14th Week |
Credit Derivatives |
|
15th Week |
General Review |
|
| Recommended or Required Reading | Hull, J. C. (2011). Options, Futures, and Other Derivatives. 8. Baskı. Prentice Hall. |
|---|
| Planned Learning Activities and Teaching Methods |
|
|---|
| Assessment Methods and Criteria |
|
Quantity |
Percentage (%) |
| Mid-term |
1 |
30 |
| Presentation of Case Study |
1 |
30 |
| Total(%) |
|
60 |
| Contribution of In-term Studies to Overall Grade(%) |
|
60 |
| Contribution of Final Examination to Overall Grade(%) |
|
40 |
| Total(%) |
|
100 |
|
| ECTS Allocated Based on Student Workload |
| Activities |
Quantity |
Duration (Hour) |
Total Workload (Hour) |
| Midterm exam |
1 |
2 |
2 |
| Preparation for Quiz |
|
|
|
| Individual or group work |
|
|
|
| Preparation for Final exam |
1 |
200 |
200 |
| Course hours |
14 |
3 |
42 |
| Preparation for Midterm exam |
1 |
180 |
180 |
| Laboratory (including preparation) |
|
|
|
| Final exam |
1 |
2 |
2 |
| Homework |
|
|
|
| Case Study Presentation |
1 |
30 |
30 |
| Total Work Load | 456 |
| Total Work Load / 30 (h) | 15.2 |
| ECTS Credit of the Course | 15 |
|
| Language of Instruction | Turkish |
|---|
| Work Placement(s) | No |
|---|
