Financial Risk Analysis And Derivatives(LFM 512)
| Course Code | Course Name | Semester | Theory | Practice | Lab | Credit | ECTS |
|---|---|---|---|---|---|---|---|
| LFM 512 | Financial Risk Analysis And Derivatives | 2 | 3 | 0 | 0 | 3 | 6 |
| Prerequisites | |
| Admission Requirements |
| Language of Instruction | English |
| Course Type | Elective |
| Course Level | Masters Degree |
| Course Instructor(s) | Abdullah Çağrı TOLGA ctolga@gmail.com (Email) |
| Assistant | |
| Objective | A perfect hedge is one that completely eliminates the risk. In practice, perfect hedges are rare. In risk analysis, the participants’ aim is to use futures markets to reduce a particular risk that they face. The course will develop better understanding of the basic theoretical results in financial derivatives, their proofs, and risk analysis. |
| Content |
Introduction, Mechanics of futures markets Determination of forward and futures prices Hedging strategies using futures Interest rate markets Swaps Properties of stock options Trading strategies involving options Binomial trees The Black-Scholes model The Greek letters Real options, Insurance, weather, and energy derivatives |
| Course Learning Outcomes |
1: Develop familiarity with basic results in financial risk analysis; 2: Develop a familiarity with mathematical tools used in financial derivatives; 3: Understand the assumptions and the limitations of results in derivatives, and the questions that result from those; 4: Understand the application topics of financial risk analysis and derivatives; 5: Develop the ability to read papers involving options, futures, forwards, real options and understand the technical parts of the papers. |
| Teaching and Learning Methods | |
| References | John C. Hull, Options, Futures, and Other Derivatives, 8th Edition, Prentice Hall, 2012. |
Theory Topics
| Week | Weekly Contents |
|---|---|
| 1 | Introduction, Mechanics of futures markets |
| 2 | Determination of forward and futures prices |
| 3 | Hedging strategies using futures |
| 4 | Interest rate markets |
| 5 | Swaps |
| 6 | Properties of stock options |
| 7 | Trading strategies involving options |
| 8 | Binomial trees |
| 9 | The Black-Scholes model |
| 10 | The Greek letters |
| 11 | Real options, Insurance, weather, and energy derivatives |
| 12 | |
| 13 | |
| 14 |
Practice Topics
| Week | Weekly Contents |
|---|
Contribution to Overall Grade
| Number | Contribution | |
|---|---|---|
| Contribution of in-term studies to overall grade | 7 | 60 |
| Contribution of final exam to overall grade | 1 | 40 |
| Toplam | 8 | 100 |
In-Term Studies
| Number | Contribution | |
|---|---|---|
| Assignments | 4 | 20 |
| Presentation | 0 | 0 |
| Midterm Examinations (including preparation) | 1 | 10 |
| Project | 1 | 20 |
| Laboratory | 0 | 0 |
| Other Applications | 0 | 0 |
| Quiz | 1 | 10 |
| 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 |
| Make-up | 0 | 0 |
| Toplam | 7 | 60 |
| No | Program Learning Outcomes | Contribution | ||||
|---|---|---|---|---|---|---|
| 1 | 2 | 3 | 4 | 5 | ||
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| 12 | X | |||||
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| 14 | X | |||||
| 15 | X | |||||
| Activities | Number | Period | Total Workload |
|---|---|---|---|
| Class Hours | 14 | 3 | 42 |
| Working Hours out of Class | 13 | 2 | 26 |
| Assignments | 4 | 8 | 32 |
| Presentation | 0 | 0 | 0 |
| Midterm Examinations (including preparation) | 1 | 12 | 12 |
| Project | 0 | 0 | 0 |
| Laboratory | 0 | 0 | 0 |
| Other Applications | 0 | 0 | 0 |
| Final Examinations (including preparation) | 1 | 15 | 15 |
| Quiz | 1 | 3 | 3 |
| Term Paper/ Project | 1 | 20 | 20 |
| Portfolio Study | 0 | 0 | 0 |
| Reports | 0 | 0 | 0 |
| Learning Diary | 0 | 0 | 0 |
| Thesis/ Project | 0 | 0 | 0 |
| Seminar | 0 | 0 | 0 |
| Other | 0 | 0 | 0 |
| Make-up | 0 | 0 | 0 |
| Total Workload | 150 | ||
| Total Workload / 25 | 6.00 | ||
| Credits ECTS | 6 | ||