COURSE INTRODUCTION AND APPLICATION INFORMATION


Course Name
Financial Mathematics
Code
Semester
Theory
(hour/week)
Application/Lab
(hour/week)
Local Credits
ECTS
MATH 555
Fall/Spring
3
0
3
7.5
Prerequisites
None
Course Language
English
Course Type
Elective
Course Level
Second / Third Cycle
Mode of Delivery -
Teaching Methods and Techniques of the Course
Course Coordinator -
Course Lecturer(s)
Assistant(s) -
Course Objectives This is an introductory course in Financial Mathematics. The course recovers the mathematical methods for financial problems and models.
Learning Outcomes The students who succeeded in this course;
  • Determine simple interest, principal value and the time period associated with a particular transaction
  • Describe different types of annuities and compute the present and future values of these annuities for different time periods and rates of interest
  • Analyze probability method, discrete and continuous random variables
  • Determine optimization models
  • Analyze the Black-Scholes Option Model
  • Analyze partial differential equations
  • Employ numerical methods
Course Description The first half of the course begins with an introduction to basic financial mathematics covering the computation of simple interest and discount rates, deriving the compound interest, and applications of different rates of interest in determining the present and future values of different types of annuities for different time periods. The second part of the course mainly concerns the classical quantitative finance i.e. derivatives, specifically the option pricing . The probability and stochastic theory, optimization models, the Black-Scholes Option Model, partial differential equations and numerical methods are covered.
Related Sustainable Development Goals

 



Course Category

Core Courses
Major Area Courses
Supportive Courses
Media and Managment Skills Courses
Transferable Skill Courses

 

WEEKLY SUBJECTS AND RELATED PREPARATION STUDIES

Week Subjects Required Materials
1 An Introduction to Options and Markets Fundamentals of future and options markets, John C. Hull, Pearson
2 Derivatives and some terminologies Fundamentals of future and options markets, John C. Hull, Pearson
3 Options Fundamentals of future and options markets, John C. Hull, Pearson
4 Forward price, Put-Call parity Fundamentals of future and options markets, John C. Hull, Pearson
5 Comparing Options With Respect to Style, Maturity, and Strike Fundamentals of future and options markets, John C. Hull, Pearson
6 Binomial Tree Fundamentals of future and options markets, John C. Hull, Pearson
7 Elements of Chance, Probability Methods: Probability Rules, Conditional Probability,Bivariate probabilities, Baye’s theorem. Fundamentals of future and options markets, John C. Hull, Pearson
8 Reviewing midterm and binomial tree Fundamentals of future and options markets, John C. Hull, Pearson
9 Introduction to Probability Theory Fundamentals of future and options markets, John C. Hull, Pearson
10 Lognormal Distributions and Stochastic Processes Fundamentals of future and options markets, John C. Hull, Pearson
11 Brownian motion and Ito’s Lemma Fundamentals of future and options markets, John C. Hull, Pearson
12 Black-Scholes Equation Fundamentals of future and options markets, John C. Hull, Pearson
13 Cash or Nothing and Gap options Fundamentals of future and options markets, John C. Hull, Pearson
14 Review Fundamentals of future and options markets, John C. Hull, Pearson
15 Review Fundamentals of future and options markets, John C. Hull, Pearson
16 Review Fundamentals of future and options markets, John C. Hull, Pearson
Course Notes/Textbooks Fundamentals of future and options markets, John C. Hull, Pearson
Suggested Readings/Materials The mathematics of financial derivatives: A student introduction, Paul Wilmotet Al., Cambridge Uni.

 

EVALUATION SYSTEM

Semester Activities Number Weigthing
Participation
Laboratory / Application
Field Work
Quizzes / Studio Critiques
2
20
Portfolio
Homework / Assignments
Presentation / Jury
Project
Seminar / Workshop
Oral Exam
Midterm
1
35
Final Exam
1
45
Total

Weighting of Semester Activities on the Final Grade
6
65
Weighting of End-of-Semester Activities on the Final Grade
1
35
Total

ECTS / WORKLOAD TABLE

Semester Activities Number Duration (Hours) Workload
Course Hours
(Including exam week: 16 x total hours)
16
3
48
Laboratory / Application Hours
(Including exam week: 16 x total hours)
16
Study Hours Out of Class
16
4
64
Field Work
Quizzes / Studio Critiques
2
6
Portfolio
Homework / Assignments
Presentation / Jury
Project
Seminar / Workshop
Oral Exam
Midterms
1
41
Final Exams
1
60
    Total
225

 

COURSE LEARNING OUTCOMES AND PROGRAM QUALIFICATIONS RELATIONSHIP

#
Program Competencies/Outcomes
* Contribution Level
1
2
3
4
5
1

To develop and deepen his/her knowledge on theories of mathematics and statistics and their applications in level of expertise, and to obtain unique definitions which bring innovations to the area, based on master level competencies,

2

To have the ability of original, independent and critical thinking in Mathematics and Statistics and to be able to develop theoretical concepts,

3

To have the ability of defining and verifying problems in Mathematics and Statistics,

4

With an interdisciplinary approach, to be able to apply theoretical and applied methods of mathematics and statistics in analyzing and solving new problems and to be able to discover his/her own potentials with respect to the application,

5

In nearly every fields that mathematics and statistics are used, to be able to execute, conclude and report a research, which requires expertise, independently,

6

To be able to evaluate and renew his/her abilities and knowledge acquired in the field of Applied Mathematics and Statistics with critical approach, and to be able to analyze, synthesize and evaluate complex thoughts in a critical way,

7

To be able to convey his/her analyses and methods in the field of Applied Mathematics and Statistics to the experts in a scientific way,

8

To be able to use national and international academic resources (English) efficiently, to update his/her knowledge, to communicate with his/her native and foreign colleagues easily, to follow the literature periodically, to contribute scientific meetings held in his/her own field and other fields systematically as written, oral and visual.

9

To be familiar with computer software commonly used in the fields of Applied Mathematics and Statistics and to be able to use at least two of them efficiently,

10

To contribute the transformation process of his/her own society into an information society and the sustainability of this process by introducing scientific, technological, social and cultural advances in the fields of Applied Mathematics and Statistics,

11

As having rich cultural background and social sensitivity with a global perspective, to be able to evaluate all processes efficiently, to be able to contribute the solutions of social, scientific, cultural and ethical problems and to support the development of these values,

12

As being competent in abstract thinking, to be able to connect abstract events to concrete events and to transfer solutions, to analyze results with scientific methods by designing experiment and collecting data and to interpret them,

13

To be able to produce strategies, policies and plans about systems and topics in which mathematics and statistics are used and to be able to interpret and develop results,

14

To be able to evaluate, argue and analyze prominent persons, events and phenomena, which play an important role in the development and combination of the fields of Mathematics and Statistics, within the perspective of the development of other fields of science,

15

In Applied Mathematics and Statistics, to be able to sustain scientific work as an individual or a group, to be effective in all phases of an independent work, to participate decision-making process and to make and execute necessary planning within an effective time schedule.

*1 Lowest, 2 Low, 3 Average, 4 High, 5 Highest