COURSE UNIT TITLE

: STOCHASTIC FINANCE

DEGREE PROGRAMMES

Description of Individual Course Units

Course Unit Code Course Unit Title Type Of Course D U L ECTS
IKT 6619 STOCHASTIC FINANCE ELECTIVE 3 0 0 6

Offered By

Economics

Level of Course Unit

Third Cycle Programmes (Doctorate Degree)

Course Coordinator

PROFESSOR DOCTOR MERT URAL

Offered to

Economics

Course Objective

It is used for understanding the mathematical and statistical methodologies based on the valuation of financial instruments and pricing techniques for risk management approaches.

Learning Outcomes of the Course Unit

1   To be able to learn usage of statistical stochastic process in terms of finance and economics
2   To be able to learn approaches according to pricing of financial assets
3   To be able to learn modeling approaches which are developed for risk management
4   To be able to use the tools related to production of financial derivative instruments
5   To be able to analyze stochastic processes

Mode of Delivery

Face -to- Face

Prerequisites and Co-requisites

None

Recomended Optional Programme Components

None

Course Contents

Week Subject Description
1 Statistics and Finance
2 Stochastic Processes
3 Basic mathematical approaches for the use of stochastic processes in finance
4 Black Scholes equations and solutions
5 Sensitivities (greeks)
6 Statistical Distributions and Finance
7 Monte Carlo Methods
8 Binomial and trinominal approaches and Finance (Midterm exam will also be held this week after course hour)
9 Binomial and trinominal approaches and Finance
10 Difference Equations
11 Difference Equations
12 Options and Production
13 American-type options
14 Yield curve, interest rate term structure, interest rate derivatives

Recomended or Required Reading

Mert URAL, Türev Ürünler ve Riskten Korunma, Detay Yayıncılık, 2016.
Mert URAL, Yatırım Fonlarının Performans ve Risk Analizi, Detay Yayıncılık, 2011.
Evren BOLGÜN ve Barış AKÇAY, Risk Yönetimi, Scala Yayıncılık, 4.Baskı, Haziran 2016.
Salih N. NEFTÇI, An Introduction to the Mathematics of Financial Derivatives, San Diego: Academic Press, Second Edition, 2000.
Ömer ÖNALAN, Finans Mühendisliğinde Matematiksel Modelleme, Istanbul: Avcıol Basım Yayın, 2004.
Domingo A. TAVELLA, Quantitative Methods in Derivatives Pricing, New York: Wiley Series, 2002.
Darrell DUFFIE, Security Markets: Stochastic Models, Publisher: Academic Press, Year: 1988.
Ömer ÖNALAN, Stokastik Süreçler, Avcıol Basımve Dağıtım., 2011
Mehmet Fuat BEYAZIT, Stokastik Finans Analitik ve Nümerik Çözümler, 2011, Seçkin Yayıncılık
Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi, A Probability Metrics Approach to Financial Risk Measures, Wiley,2011
Huu Tue Huynh, Van Son Lai, Issouf Soumare, Stochastic Simulation and Applications in Finance with MATLAB Programs, Wiley, 2008
Joerg Kienitz, Daniel Wetterau Financial Modelling: Theory, Implementation and Practice with MATLAB Source, Wiley, 2011

Planned Learning Activities and Teaching Methods

Face-to-face

Assessment Methods

SORTING NUMBER SHORT CODE LONG CODE FORMULA
1 MTE MIDTERM EXAM
2 STT TERM WORK (SEMESTER)
3 FIN FINAL EXAM
4 FCG FINAL COURSE GRADE MTE * 0.30 + STT * 0.20 + FIN* 0.50
5 RST RESIT
6 FCGR FINAL COURSE GRADE (RESIT) MTE * 0.30 + STT * 0.20 + RST* 0.50


*** 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
Preparations before/after weekly lectures 14 3 42
Preparation for final exam 1 20 20
Preparing assignments 1 25 25
Reading 1 10 10
Preparation for midterm exam 1 15 15
Midterm 1 2 2
Final 1 2 2
TOTAL WORKLOAD (hours) 158

Contribution of Learning Outcomes to Programme Outcomes

PO/LOPO.1PO.2PO.3PO.4PO.5PO.6PO.7PO.8PO.9
LO.15555555
LO.255
LO.3555
LO.45
LO.55

CONTACT INFORMATION
Dokuz Eylül Üniversitesi Cumhuriyet Bulvarı No: 144 35210 Alsancak / İZMİR
Phone: +90(232) 412 12 12 - Fax: +90 (232) 464 81 35

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