| Course Type | Elective Course |
|---|
| Course Level | Bachelor's Degree |
|---|
| Year of Study | - |
|---|
| Semester | - |
|---|
| ECTS | 5 |
|---|
| Name of Lecturer(s) |
|
| Learning Outcomes |
At the end of this course, the students;
- Describe the characteristics and features of various derivative securities.
- Form investment and arbitrage strategies with derivative securities
- Manage risk exposure and hedge by means of derivative securities
- Manage transaction exposure
- Manage translation exposure
- Price derivative securities with mathematical models
- Apply for computer-aided pricing programs in derivatives
- Learn trading strategies in VOBAŞ
|
| Mode of Delivery | Face to face |
|---|
| Prerequisites | No |
|---|
| Recommended Optional Programme Components | Man411 Investment Analysis |
|---|
| Course Description | This course presents and analyzes derivatives, such as forwards, futures, swaps, and options. They allow one to tailor the amount and kind of risk one takes, be it risk associated with changes in interest rates, exchange rates, stock prices, commodity prices, inflation, etc. VIOP (Borsa İstanbul Futures and Options Market) is offering significant opportunities and instruments to those who need to manage such risks. They are used by institutions as well as investors, sometimes to hedge (reduce) unwanted risks, sometimes to take on additional risk motivated by views regarding future market movements.
Students who miss more than 30% of total class hours receive an F2 grade. |
|---|
| Course Contents |
| WEEK |
TOPICS |
|
1st Week |
Introduction to the course |
|
2nd Week |
Mechanics of Futures and Forward Markets |
|
3rd Week |
Hedging Strategies Using Futures |
|
4th Week |
Determination of Forward and Futures Prices |
|
5th Week |
Swaps |
|
6th Week |
Mechanics of Options Markets |
|
7th Week |
Midterm |
|
8th Week |
Properties of Stock Options |
|
9th Week |
Trading Strategies Involving Options |
|
10th Week |
Introduction to Binomial Trees |
|
11th Week |
Valuing Stock Options: The Black-Scholes-Merton Model |
|
12th Week |
The Greek Letters |
|
13th Week |
Exotic Options and Other Non-Standard Instruments |
|
14th Week |
Credit Derivatives |
|
| Recommended or Required Reading | 1.Sermaye Piyasası Lisanslama Sicil ve Eğitim Kuruluşu, Türev Araçlar, Piyasalar ve Risk Yönetimi. 2. https://www.borsaistanbul.com/tr/sayfa/501/vadeli-islem-ve-opsiyon-piyasasi-egitim |
|---|
| Planned Learning Activities and Teaching Methods |
- Lecture
- Problem Solving
- Discussion
|
|---|
| Assessment Methods and Criteria |
|
Quantity |
Percentage (%) |
| Mid-term |
1 |
30 |
| Project |
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 |
1 |
1 |
| Preparation for Quiz |
|
|
|
| Individual or group work |
14 |
3 |
42 |
| Preparation for Final exam |
1 |
28 |
28 |
| Course hours |
14 |
3 |
42 |
| Preparation for Midterm exam |
1 |
28 |
28 |
| Laboratory (including preparation) |
|
|
|
| Final exam |
1 |
2 |
2 |
| Homework |
|
|
|
| Project |
1 |
15 |
15 |
| Total Work Load | 158 |
| Total Work Load / 30 (h) | 5.26 |
| ECTS Credit of the Course | 5 |
|
| Language of Instruction | Turkish |
|---|
| Work Placement(s) | No |
|---|
