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Description of Individual Course Units

Course Unit Code Course Unit Title Type Of Course D U L ECTS IFN 5012 FINANCE ENGINEERING COMPULSORY 3 0 0 4

Offered By

Finance

Level of Course Unit

Second Cycle Programmes (Master's Degree)

Course Coordinator

PROFESSOR DOCTOR GÖKTUĞ CENK AKKAYA

Offered to

Finance Master of Finance

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

Recomended or Required Reading

Financial Engineering- Salif 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 STT TERM WORK (SEMESTER) 3 FIN FINAL EXAM 4 FCG FINAL COURSE GRADE MTE * 0.20 + STT* 0.40 + FIN* 0.40 5 RST RESIT 6 FCGR FINAL COURSE GRADE (RESIT) MTE * 0.20 + STT * 0.40 + RST* 0.40

Further Notes About Assessment Methods

None

Assessment Criteria

Students assessed by midterm and final exam along with presentation they made and reports they prepared about the subject of scientific research subject they made.

Language of Instruction

Turkish

Course Policies and Rules

To be announced.

Contact Details for the Lecturer(s)

cenk.akkaya@deu.edu.tr

Office Hours

Monday 16:00

Work Placement(s)

None

Workload Calculation

Activities Number Time (hours) Total Work Load (hours) Lectures 14 3 42 Preparation for midterm exam 1 5 5 Preparation for final exam 1 7 7 Preparations before/after weekly lectures 14 2 28 Preparing assignments 1 10 10 Final 1 2 2 Midterm 1 2 2 TOTAL WORKLOAD (hours) 96

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