Course Name : Derivatives and Risk Management

Degree: Bachelor

Code

Year/Semester

Local Credits

ECTS Credits

Course Implementation, Hours/Week

Course

Tutorial

Laboratory

EF 322

Spring

3

5

3

0

-

Department

Economics and Finance

Instructors

Kenan Tata

Contact Information

e-mail: ktata@pirireis.edu.tr

Office Hours

Thursday 15:00-17:00 / Friday 11:00-12:00

Web page

http://www.pirireis.edu.tr/pruonline/www/index.php

Course Type

 Compulsory

Course Language

English

Course Prerequisites

( EF222 or EF313 ) special condititon

Course Category by Content, %

Basic Sciences

Engineering Science

Engineering Design

Humanities

Course Description

Financial markets, Futures, Swaps, Options, Risk Management Strategies, Asset Pricing, Option pricing

Course Objectives

Recent developments in the financial markets, especially the resent crisis and the subsequent turmoil, made it apparent that identifying, measuring and managing risks is a must. Both on individual and firm level, concentrating on the investment itself and/or core operations requires a rigorous knowledge of risk management. Introducing students to the markets and the building blocks of derivative instruments is at the core of this course.  

Course Learning Outcomes

Students who passed EF 322 will be proficient in the following topics:

1. Financial markets and different types of risk.
2. Futures contracts, pricing and strategies.
3. Swap types, pricing and strategies.
4. Asset Pricing and price processes.
5. Option contracts, pricing and straegies

Instructional Methods and Techniques

Theoretical presentation

Tutorial Place

-

Co-term Condition

-

Textbook

John Hull, Fundamentals of Futures and Options Markets,  Pearson Education

Other References

Additional readings will be handled out during the term

Homework & Projects

-

Laboratory Work

-

Computer Use

-

Other Activities

Assessment Criteria

Activities

Quantity

Effects on Grading, %

Attendance

1

10

Midterm

1

30

Quiz

Homework

Term Paper/Project

1

20

Laboratory Work

Practices

Tutorial

Seminar

Presentation

Field Study

Final Exam

1

40

TOTAL

100

Effects of Midterm on Grading, %

Effects of Final on Grading, %

TOTAL

100

Week

Topics

Course Outcomes

1

Introductıon, Markets and Risks

I

2

Mechanics of Futures and trading strategies

I-II

3

Pricing Futures 1

I-II

4

Pricing Futures 2

I-II

5

Swaps

I-III

6

Pricing Swaps

III

7

Intro to Options

I-V

8

Trading Strategies

V

9

Binomial Trees

V

10

Stock Prices and Itos Lemma

IV

11

BSM model 1

IV-V

12

BSM model 2

IV-V

13

BSM Applications

IV-V

14

Review

All

Program Outcomes

Level of Contribution

1

2

3

a

Ability to analize the theoretical information in the area of economics and finance, and to assess their implications in implementation.

X

b

Ability to acquire distinctive information in the area of social and and behavioral sciences through academic, managerial, and politically focused written and visual resources

X

c

Ability to acquire knowledge by integrating information related to the field of economics and finance  into computerized environments.

X

d

Ability to present obtained information by employing the technical skills required by the field of economics and finance (such as in computerized environments) in Turkish or English.

X

e

Ability to employ knowledge related to the field of economics and finance in decision-making, application, and the application of decisions.

X

f

Ability to produce multidisciplinary assessments and conduct analyses in harmony with the area of economics and finance, related sub-fields, and other social science areas.

X

g

Ability to incorporate and accurately assess ethical and Professional responsibilities.

X

h

Ability to establish effective high-level written and oral communications in Turkish and English.

X

i

To have a wide-range understanding for the incorporation of the effects of the field of economics and finance in a global context.

X

j

Having acquired lifelong learning skills.

X

k

Having wide knowledge on contemporary topics.

X

X

l

Being open and adaptive to novelty and varying condition

X

m

Having practical and theoretical technical knowledge for being able to obtain information and results through data analysis.

X

Prepared by

Kenan Tata

Date

06.08.2017

Signature