GRADUATE SCHOOL
Financial Economics (With Thesis)
FM 506 | Course Introduction and Application Information
| Course Name |
Stochastic Processes in Finance
|
|
Code
|
Semester
|
Theory
(hour/week) |
Application/Lab
(hour/week) |
Local Credits
|
ECTS
|
|
FM 506
|
Fall/Spring
|
1
|
4
|
3
|
5
|
| Prerequisites |
None
|
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| Course Language |
English
|
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| Course Type |
Elective
|
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| Course Level |
Second Cycle
|
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| Mode of Delivery | - | |||||
| Teaching Methods and Techniques of the Course | - | |||||
| Course Coordinator | - | |||||
| Course Lecturer(s) | - | |||||
| Assistant(s) | - | |||||
| Course Objectives | This course aims to provide the definition and analysis of stochastic processes arised in financial applications. |
| Learning Outcomes |
The students who succeeded in this course;
|
| Course Description | The topics covered in this course include the definitions and the classifications of stochastic processes, Poisson process, renewal theory, Markov chains and processes, Martingales. |
|
|
Core Courses | |
| Major Area Courses |
X
|
|
| Supportive Courses | ||
| Media and Management Skills Courses | ||
| Transferable Skill Courses |
WEEKLY SUBJECTS AND RELATED PREPARATION STUDIES
| Week | Subjects | Related Preparation |
| 1 | Introduction | Mathematical Models of Financial Derivatives, Y.K. Kwok, Springer, 2008 (2nd ed.) |
| 2 | Some basic concepts in finance | Mathematical Models of Financial Derivatives, Y.K. Kwok, Springer, 2008 (2nd ed.) |
| 3 | Introduction to stochastic processes | Mathematical Models of Financial Derivatives, Y.K. Kwok, Springer, 2008 (2nd ed.) |
| 4 | Discrete-time and continuous-time stochastic processes | Mathematical Models of Financial Derivatives, Y.K. Kwok, Springer, 2008 (2nd ed.) |
| 5 | Martingales | Mathematical Models of Financial Derivatives, Y.K. Kwok, Springer, 2008 (2nd ed.) |
| 6 | Martingales | Mathematical Models of Financial Derivatives, Y.K. Kwok, Springer, 2008 (2nd ed.) |
| 7 | Single period securities models | Mathematical Models of Financial Derivatives, Y.K. Kwok, Springer, 2008 (2nd ed.) |
| 8 | MIDTERM | |
| 9 | Multiperiod securities models | Mathematical Models of Financial Derivatives, Y.K. Kwok, Springer, 2008 (2nd ed.) |
| 10 | Asset price dynamics and stochastic processes, Brownian processes | Mathematical Models of Financial Derivatives, Y.K. Kwok, Springer, 2008 (2nd ed.) |
| 11 | Asset price dynamics and stochastic processes, Brownian processes | Mathematical Models of Financial Derivatives, Y.K. Kwok, Springer, 2008 (2nd ed.) |
| 12 | Stochastic calculus: Ito's lemma and Girsanov's theorem | Mathematical Models of Financial Derivatives, Y.K. Kwok, Springer, 2008 (2nd ed.) |
| 13 | Stochastic calculus: Ito's lemma and Girsanov's theorem | Mathematical Models of Financial Derivatives, Y.K. Kwok, Springer, 2008 (2nd ed.) |
| 14 | Option pricing models | Mathematical Models of Financial Derivatives, Y.K. Kwok, Springer, 2008 (2nd ed.) |
| 15 | Presentations | |
| 16 | Review of the Semester |
| Course Notes/Textbooks | Mathematical Models of Financial Derivatives, Y.K. Kwok, Springer, 2008 (2nd ed.) |
| Suggested Readings/Materials | “Stochastic Processes for Insurance and Finance” by Tomasz Rolski, Hanspeter Schmidli, Volker Schmidt, and Jozef Teugels. “Stochastic Processes” by Sheldon Ross, Wiley Series in Probability and Mathematical Statistics.“An Introduction to Stochastic Modeling” by S. Karlin and H.E. Taylor. |
EVALUATION SYSTEM
| Semester Activities | Number | Weigthing |
| Participation |
1
|
10
|
| Laboratory / Application | ||
| Field Work | ||
| Quizzes / Studio Critiques | ||
| Portfolio | ||
| Homework / Assignments |
1
|
10
|
| Presentation / Jury |
1
|
15
|
| Project | ||
| Seminar / Workshop | ||
| Oral Exams | ||
| Midterm |
1
|
25
|
| Final Exam |
1
|
40
|
| Total |
| Weighting of Semester Activities on the Final Grade |
4
|
65
|
| Weighting of End-of-Semester Activities on the Final Grade |
1
|
35
|
| Total |
ECTS / WORKLOAD TABLE
| Semester Activities | Number | Duration (Hours) | Workload |
|---|---|---|---|
| Theoretical Course Hours (Including exam week: 16 x total hours) |
16
|
3
|
48
|
| Laboratory / Application Hours (Including exam week: '.16.' x total hours) |
16
|
0
|
|
| Study Hours Out of Class |
15
|
5
|
75
|
| Field Work |
0
|
||
| Quizzes / Studio Critiques |
0
|
||
| Portfolio |
0
|
||
| Homework / Assignments |
1
|
20
|
20
|
| Presentation / Jury |
1
|
20
|
20
|
| Project |
0
|
||
| Seminar / Workshop |
0
|
||
| Oral Exam |
0
|
||
| Midterms |
1
|
22
|
22
|
| Final Exam |
1
|
40
|
40
|
| Total |
225
|
COURSE LEARNING OUTCOMES AND PROGRAM QUALIFICATIONS RELATIONSHIP
|
#
|
Program Competencies/Outcomes |
* Contribution Level
|
||||
|
1
|
2
|
3
|
4
|
5
|
||
| 1 | To improve and deepen expertise in economics and finance. |
|||||
| 2 | To be able to comprehend the interaction between economics, finance and related fields. |
X | ||||
| 3 | To be able to apply the advanced level knowledge acquired in economics and finance. |
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| 4 | To be able to create new knowledge by combining the knowledge of finance and economics with the knowledge coming from other disciplines and be able to solve problems which requires expert knowledge by applying scientific methods. |
X | ||||
| 5 | To be able to use computer programs needed in the fields of economics and finance as well as information and communication technologies in advanced levels. |
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| 6 | To be able to think analytically to identify problems in finance and economics and to be able to make policy recommendations in economics and finance based on scientific analysis of issues and problems. |
X | ||||
| 7 | To be able to develop new strategic approaches for unexpected, complicated situations in finance and economics and take responsibility in solving it. |
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| 8 | To protect the social, scientific and ethical values at the data collection, interpretation and dissemination stages and to be able to institute and observe these values. |
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| 9 | To be able to critically evaluate the knowledge in finance and economics, to lead learning and carry out advanced level research independently. |
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| 10 | To be able to use a foreign language for both following scientific progress and for written and oral communication. |
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*1 Lowest, 2 Low, 3 Average, 4 High, 5 Highest