Course Code and name

EKO 663 Theories in Finance

Course Type

Elective

Course Credit

 

3 0 3

ECTS Credit

 

 

Lecturer

Assistant Prof. Dr. İbrahim Özkan

Pre-requisite(s)

-

Course Length

 

1 Semester  (3 Theoretic hours per week)

 

Course Content

  • Review: Financial Math.
  • Review: Risk, Uncertainty and Return
  • Modern Portfolio Theory
  • Capital Asset Pricing Model (CAPM)
  • Arbitrage Pricing Theory (APT)
  • Pricing in Practice
    1. Option Pricing
    2. General Stochastic Models
    3. Numerical Methods
    4. Risk Measurement of Derivatives
  • Risk Management

 

Course Objective and Fulfillments to be obtained by Students

 

The aim of this course is to introduce the fundamental theories in finance. In this course, modern portfolio theory, APT, CAPM, numerical techniques and Risk Management concepts are introduced. At the end of the course, the students shall be able to create models for pricing, portfolio management and Risk Management. A SW similar to Matlab or Matlab will be used.

References

 

B. Oksendal, Stochastic Differential Equations, 5th Edition, Springer Verlag

 

S. Neftci, An Introduction to the Mathematics of Financial Derivatives, Academic Press, 2000

 

P. Willmott, Derivatives : The Theory and Practice of Financial Engineering (Wiley Frontiers in Finance Series), 1998

 

J. C. Hull, Options, Futures and Other Derivatives, Prentice Hall, 2005

 

Michel Crouhy, Dan Galai, and Robert Mark, The Essentials of Risk Management, McGraw-Hill, 2005

Teaching Method

Teaching, Presentations, Term Paper

Assessment Method

Presentation and Term Paper (50%) and Final (50%)

Instruction Language

Turkish