| Course Type | Elective Course |
|---|
| Course Level | Master's Degree Without Thesis |
|---|
| Year of Study | - |
|---|
| Semester | - |
|---|
| ECTS | 10 |
|---|
| 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 computer aided pricing programs in derivatives
- Learn trading strategies in Turkish Derivatives Exchange
- 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.
|
| Mode of Delivery | Face to face |
|---|
| Prerequisites | No |
|---|
| Recommended Optional Programme Components | None |
|---|
| Course Description | The objective of this course is to analyze derivative markets, related financial instruments called futures, forwards, options and swaps and particulary the derivatives exchange established in Turkey. Hedging, also, consists of the content of this course. |
|---|
| Course Contents |
| WEEK |
TOPICS |
|
1st Week |
Introduction to course |
|
2nd Week |
The working process of Futures ve Forward markets |
|
3rd Week |
Futures and Hedging |
|
4th Week |
Pricing of Futures ve Forward |
|
5th Week |
Swaps |
|
6th Week |
Option markets |
|
7th Week |
Share Options |
|
8th Week |
Midterm |
|
9th Week |
Transaction strategies related to options |
|
10th Week |
Binomial Pricing Model |
|
11th Week |
Black-Scholes-Merton Model |
|
12th Week |
Greek letters in derivatives |
|
13th Week |
Other types of options |
|
14th Week |
Credit derivatives |
|
15th Week |
General Review |
|
| Recommended or Required Reading | Hull, J. C. (2010). Fundamentals of Futures and Options Markets . 7. basım. 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 |
2 |
2 |
| Preparation for Quiz |
|
|
|
| Individual or group work |
14 |
6 |
84 |
| Preparation for Final exam |
1 |
55 |
55 |
| Course hours |
14 |
3 |
42 |
| Preparation for Midterm exam |
1 |
45 |
45 |
| Laboratory (including preparation) |
|
|
|
| Final exam |
1 |
2 |
2 |
| Homework |
5 |
8 |
40 |
| Project |
1 |
30 |
30 |
| Total Work Load | 300 |
| Total Work Load / 30 (h) | 10 |
| ECTS Credit of the Course | 10 |
|
| Language of Instruction | Turkish |
|---|
| Work Placement(s) | No |
|---|
