| 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 no arbitrage 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 | None |
|---|
| Course Description | The objective of this course is to examine derivative financial instruments(future, forward, options and swap)
and the financial markets that they take place. In addition, hedging will be covered as part of this course. |
|---|
| Course Contents |
| WEEK |
TOPICS |
|
1st Week |
Introduction, Mechanics of Futures Markets |
|
2nd Week |
Hedging Strategies Using Futures, Interest Rates |
|
3rd Week |
Determination of Forward and Futures Prices, Interest Rate Futures |
|
4th Week |
Swaps |
|
5th Week |
Mechanics of Options Markets |
|
6th Week |
Properties of Stock Options, Trading Strategies Involving 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 Assessment |
|
| 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 |
| 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 |
3 |
3 |
| Preparation for Quiz |
|
|
|
| Individual or group work |
2 |
50 |
100 |
| Preparation for Final exam |
1 |
60 |
60 |
| Course hours |
14 |
3 |
42 |
| Preparation for Midterm exam |
1 |
45 |
45 |
| Laboratory (including preparation) |
|
|
|
| Final exam |
1 |
10 |
10 |
| Homework |
5 |
30 |
150 |
| Project |
1 |
40 |
40 |
| Total Work Load | 450 |
| Total Work Load / 30 (h) | 15 |
| ECTS Credit of the Course | 15 |
|
| Language of Instruction | Turkish |
|---|
| Work Placement(s) | No |
|---|
