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Description of Individual Course Units

Course Unit Code Course Unit Title Type Of Course D U L ECTS IFN 7041 FINANCE ENGINEERING COMPULSORY 3 0 0 4

Offered By

Finance Non-Thesis (Evening)

Level of Course Unit

Second Cycle Programmes (Master's Degree)

Course Coordinator

PROFESSOR GÖKTUĞ CENK AKKAYA

Offered to

Finance Non-Thesis (Evening) Non-Thesis Master of Finance (Evening)

Course Objective

To investigate pricing process of new construct financial instruments

Learning Outcomes of the Course Unit

1   Calculates option contract prices 2   Summarizes constructed financial products 3   Classifies market efficiencies 4   Classifies egzotic options 5   Forms new derivative instruments

Mode of Delivery

Face -to- Face

Prerequisites and Co-requisites

None

Recomended Optional Programme Components

None

Course Contents

Week Subject Description 1 Introduction and Course Description 2 Financial Engineering Concept and Dimentions 3 Derivatives Pricing Models 4 Black Scholes Pricing Models 5 Binominal Pricing Models 6 Measuring Sensitivity of Option Contracts 7 Option Strategies 8 Stochastic Analysis and Brownian Movement 9 Simulation Applications at Financial Engineering 10 Using Monte Carlo simulations at Risk Analysis 11 Real Option Analysis 12 Using Artificial Neural Networks at Financial Engineering 13 Data Mining Applications at Financial Engineering 14 Conclusion and Evaluation

Recomended or Required Reading

Financial Engineering-Salih Nefçi

Planned Learning Activities and Teaching Methods

Detailed in assessment methods and ECTS table

Assessment Methods

SORTING NUMBER SHORT CODE LONG CODE FORMULA 1 MTE MIDTERM EXAM 2 FCG FINAL COURSE GRADE 3 FCGR FINAL COURSE GRADE MTE * 0.40 + FCG* 0.60 4 RST RESIT 5 FCGR FINAL COURSE GRADE (RESIT) MTE * 0.40 + RST* 0.60 *** Resit Exam is Not Administered in Institutions Where Resit is not Applicable.

Further Notes About Assessment Methods

None

Assessment Criteria

To be announced.

Language of Instruction

Turkish

Course Policies and Rules

To be announced.

Contact Details for the Lecturer(s)

To be announced.

Office Hours

To be announced.

Work Placement(s)

None

Workload Calculation

Activities Number Time (hours) Total Work Load (hours) Lectures 14 3 42 Preparation for midterm exam 1 8 8 Preparation for final exam 1 12 12 Preparing assignments 1 18 18 Preparing presentations 1 2 2 Preparations before/after weekly lectures 14 1 14 Final 1 2 2 Midterm 1 2 2 TOTAL WORKLOAD (hours) 100

Contribution of Learning Outcomes to Programme Outcomes

PO/LO PO.1 PO.2 PO.3 PO.4 PO.5 PO.6 PO.7 PO.8 PO.9 PO.10 PO.11 PO.12 PO.13 LO.1 1 LO.2 1 LO.3 1 LO.4 1 LO.5 1