| MATHEMATICS (TURKISH, PHD) | |||||
| PhD | TR-NQF-HE: Level 8 | QF-EHEA: Third Cycle | EQF-LLL: Level 8 | ||
| Course Code | Course Name | Semester | Theoretical | Practical | Credit | ECTS |
| FIN6402 | Derivatives | Fall | 3 | 0 | 3 | 10 |
| The course opens with the approval of the Department at the beginning of each semester |
| Language of instruction: | En |
| Type of course: | Departmental Elective |
| Course Level: | |
| Mode of Delivery: | Face to face |
| Course Coordinator : | Dr. Öğr. Üyesi DİLA ASFUROĞLU |
| Course Lecturer(s): |
Prof. Dr. ÜMİT EROL |
| Course Objectives: | The purpose of the course is learning the theoretical background of the derivatives as wells as learning how to use them practically. Primary emhasis is on the futures and options with less emphasis on forwards and swaps. Regarding futures markets, main topics are the margin system, theoretical pricing of futures, arbitrage and hedging by futures. Regarding options; main topics are discussion of the variables affecting option premiums, derivation of option pricing formulas by different models (e.g Black-Scholes, Binomial,Monte-Carlo), Option Greeks and Delta Hedging, Option Strategies and Exotic Options |
|
The students who have succeeded in this course; 1)Have enough knowledge and expertise regarding hedging by futures 2)Learn how to derive the theoretical prices of futures, 3)Learn the derivation of theoretical option premium by different models, 4)Learn how to hedge with options. |
| a) Margin System of Futures b) Theoretical Pricing of Commodity, FX and index futures c) Arbitrage in futures markets d) The Use of Futures in Hedging Applications; Static and Dynamic Hedging e) Main Determinants of Option Premiums f) Derivation of Black-Scholes Models and Its Applications g) Derivation of Binomial Model and Its Applications h) Monte-Carlo Approach i) Other Option Pricing models j) Delta and Other Greeks, Use of Greeks for hedging with Options k) Option Strategies l) Exotic Options (Barrier, Lookback, Chooser, Bermuda and Others) |
| Week | Subject | Related Preparation | |
| 1) | Basic Properties of Futures and Forward Markets | ||
| 2) | The Margin System in Futures Markets by examples from Turkey and U.S | ||
| 3) | The Theretical Pricing of Commodity, FX and Index Futures | ||
| 4) | The use of futures for hedging, Static and Dynamic Hedging, the importance of basis in hedging by futures | ||
| 5) | The basics and primary properties of options, The Profit/Loss Diagrams, Main Determinants of Option Premiums | ||
| 6) | Black-Scholes Model: Its Asumptions, Mathematical Derivation and Applications | ||
| 7) | Binomial Model: Its Assumptions, Derivation and Applications | ||
| 8) | Monte-Carlo Simulations: Definition and Applications | ||
| 9) | Orther Option Pricing Models (Bjerklund-Stensland, Jarrow-Rudd, Corrado-Su, Bates, Hull-White and SABR models) | ||
| 10) | Delta and Other Greeks, Derivation of Black-Scholes, Binomial and Monte-Carlo Greeks, Hedging by Options (Delta Hedging and İts Applications) | ||
| 11) | Option Strategies (Vertical Spread, Straddle, Strangle, Butterfly ad others) | ||
| 12) | Exotic Opions (Barrier, Asian, Lookback, Binary, Chooser, Compund, Bermuda); Definitions, Basic Pricing Formulas and applications | ||
| 13) | Definition of Volatility and Forecasting of Volatility; İmplied Volatility, Historical Volatility and GARCH approaches | ||
| 14) | Swaps; Basic Types and Definitions | ||
| Course Notes: | Türev Piyasalar: Futures,Forward,Swap ve Opsiyonlar; Ümit Erol, Bahçeşehir Üniversitesi Yayınları. Options, Futures and Other Derivatives, J.C.Hull; Prentice Hall. |
| References: |
| Semester Requirements | Number of Activities | Level of Contribution |
| Attendance | % 0 | |
| Laboratory | % 0 | |
| Application | % 0 | |
| Field Work | % 0 | |
| Special Course Internship (Work Placement) | % 0 | |
| Quizzes | % 0 | |
| Homework Assignments | % 0 | |
| Presentation | % 0 | |
| Project | % 0 | |
| Seminar | % 0 | |
| Midterms | 1 | % 40 |
| Preliminary Jury | % 0 | |
| Final | 1 | % 60 |
| Paper Submission | % 0 | |
| Jury | % 0 | |
| Bütünleme | % 0 | |
| Total | % 100 | |
| PERCENTAGE OF SEMESTER WORK | % 40 | |
| PERCENTAGE OF FINAL WORK | % 60 | |
| Total | % 100 | |
| No Effect | 1 Lowest | 2 Low | 3 Average | 4 High | 5 Highest |
| Program Outcomes | Level of Contribution |