Differential Markets
goktunabilge@gmail.com
Content
Objective
The course provides first with a matlab tutorial to enable then students to use computational methods in asset pricing.
Course Content
The course necessitates the use of matlab, the first part of the course will be devoted to learning matlab. The second part of the course initiates option pricing preliminaries, asset price model with the appropriate computational techniques.
Course Learning Outcomes
-acquire computational skills, master matlab
-learn asset price models using computational tools
Teaching and Learning Methods
The course is taught in a computer laboratory. During the first part of the course, students learn MatLab and additional exercises are given as homework to reinforce their programming skills. The second part of the course, students learn asset price model. After the theoretical model is presented, the course follows with the programming exercises.
References
Desmond J. Higham, Nicholas J. Higham MATLAB Guide 2nd Edition SIAM: Society for Industrial and Applied Mathematics; 2 edition (March 2005)
Desmond J. Higham An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation Cambridge University Press; 1 edition (April 19, 2004)
Weekly Contents
| Week | Weekly Contents |
|---|---|
| 1 | Introduction to Matlab |
| 2 | Basic concepts-Variables-Matrices, vectors and series |
| 3 | Loops-Functions |
| 4 | Input-Output |
| 5 | Graphics |
| 6 | Linear Algebra |
| 7 | Solutions-Optimisation |
| 8 | Options |
| 9 | Option valuation preliminaries |
| 10 | Random variables-Computer simulation |
| 11 | Asset price movement |
| 12 | Asset price model I |
| 13 | Asset price model II |
Assessment System
| Activities | Number | Contribution |
|---|---|---|
| Contribution of in-term studies to overall grade | 60 | 0 |
| Contribution of final exam to overall grade | 40 | 0 |
| Total | 100 | 0 |
| Activities | Number | Contribution |
|---|---|---|
| Assignments | 1 | 30 |
| Presentation | 0 | 0 |
| Midterm Examinations (including preparation) | 1 | 30 |
| Project | 0 | 0 |
| Laboratory | 0 | 0 |
| Other Applications | 0 | 0 |
| Quiz | 0 | 0 |
| Term Paper/ Project | 0 | 0 |
| Portfolio Study | 0 | 0 |
| Reports | 0 | 0 |
| Learning Diary | 0 | 0 |
| Thesis/ Project | 0 | 0 |
| Seminar | 0 | 0 |
| Other | 0 | 0 |
| Total | 2 | 60 |
ECTS
| Activities | Number | Period | Total Workload |
|---|---|---|---|
| Class Hours | 14 | 3 | 42 |
| Working Hours out of Class | 14 | 4 | 56 |
| Assignments | 1 | 15 | 15 |
| Midterm Examinations (including preparation) | 1 | 15 | 15 |
| Final Examinations (including preparation) | 1 | 15 | 15 |
| Total Workload | 143 | ||
| Total Workload / 25 | 5.72 | ||
| Credits ECTS | 6 | ||