| Industrial Engineering (English) | |||||
| Bachelor | TR-NQF-HE: Level 6 | QF-EHEA: First Cycle | EQF-LLL: Level 6 | ||
| Course Code: | ISE007 | ||||
| Course Name: | Financial Engineering | ||||
| Semester: |
Spring Fall |
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| Course Credits: |
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| Language of instruction: | English | ||||
| Course Condition: | |||||
| Does the Course Require Work Experience?: | No | ||||
| Type of course: | Departmental Elective | ||||
| Course Level: |
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| Mode of Delivery: | Face to face | ||||
| Course Coordinator: | Doç. Dr. SALİHA KARADAYI USTA | ||||
| Course Lecturer(s): | Dr. Öğr. Üy. NADİ SERHAN AYDIN | ||||
| Course Assistants: |
| Course Objectives: | This course is as an introduction to the theory and practice of financial engineering. The course is particularly relevant to students interested in financial markets and products. |
| Course Content: | The topics include financial markets, derivative securities, risk management, mathematical models in finance. Foreign exchange, debt equity, commodity markets. Investing, trading, hedging arbitrage. Forwards, futures, options, swaps, exotic derivatives. Models of price dynamics, binomial model, introduction to option pricing with Black-Scholes theory. |
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The students who have succeeded in this course;
1) Understand, and apply hedging transactions with, forward and futures contracts. 2) Understand spot and forward interest rates, derive zero curve, and value bonds. 3) Establish spot-forward relationship with consumption and investment assets. 4) Understand swap transactions and value interest rate and currency swaps. 5) Understand various option spreads and value options using different techniques. |
| Week | Subject | Related Preparation |
| 1) | Introduction to financial engineering | |
| 2) | Forward and futures contracts | |
| 3) | Hedging with futures contracts | |
| 4) | Interest rates and FRAs | |
| 5) | Spot-forward relationship | |
| 6) | IR and Currency Swaps | |
| 7) | Documentary on “Global Financial Crisis” | |
| 8) | Midterm review | |
| 9) | Midterm Exam | |
| 10) | Mechanics of options | |
| 11) | Option trading strategies | |
| 12) | Option valuation and delta-hedging | |
| 13) | Invited speaker | |
| 14) | Wrap-up and final review |
| Course Notes / Textbooks: | J. Hull (2021), Options, Futures and Other Derivatives (11th/Global Ed.), Pearson (ISBN-10: 978-0-13-693997-9). |
| References: | M. Capiński and T. Zastawniak (2011), Mathematics for Finance: An Introduction to Financial Engineering (2nd Ed.), Springer (ISBN). R.L. Kosowski and Salih N. Neftci (2015), Principles of Financial Engineering (3rd Ed.), Academic Press |
| Course Learning Outcomes | 1 |
2 |
3 |
4 |
5 |
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| Program Outcomes | |||||||||||
| 1) Adequate knowledge in mathematics, science and industrial engineering; the ability to use theoretical and practical knowledge in these areas in complex engineering problems. | |||||||||||
| 2) Ability to identify, formulate, and solve complex industrial engineering problems; ability to select and apply appropriate analysis and modeling methods for this purpose. | 2 | 2 | 2 | 2 | |||||||
| 3) Ability to design a complex industrial system, process, device or product to meet specific requirements under realistic constraints and conditions; ability to apply modern design methods for this purpose. | |||||||||||
| 4) Ability to develop, select and use modern techniques and tools necessary for the analysis and solution of complex problems encountered in industrial engineering applications; ability to use information technologies effectively. | 2 | 2 | 2 | ||||||||
| 5) Ability to design, conduct experiments, collect data, analyze and interpret results for the study of complex engineering problems or industrial engineering research topics. | |||||||||||
| 6) Ability to work effectively within and multidisciplinary teams; individual study skills. | |||||||||||
| 7) Ability to communicate effectively orally and in writing; knowledge of at least one foreign language; ability to write effectice reports and understand written reports, to prepare design and production reports, to make effective presentations, to give and receive clear and understandable instructions. | |||||||||||
| 8) Awareness of the necessity of lifelong learning; ability to access information, to follow developments in science and technology and to renew continuously. | |||||||||||
| 9) To act in accordance with ethical principles, professional and ethical responsibility; information on the standards used in engineering applications. | |||||||||||
| 10) Information on business practices such as project management, risk management and change management; awareness of entrepreneurship and innovation; information about sustainable development. | |||||||||||
| 11) Knowledge of the effects of industrial engineering practices on health, environment and safety in the universal and social scale and the problems of the era reflected in industrial engineering; awareness of the legal consequences of industrial engineering solutions. | |||||||||||
| No Effect | 1 Lowest | 2 Average | 3 Highest |
| Program Outcomes | Level of Contribution | |
| 1) | Adequate knowledge in mathematics, science and industrial engineering; the ability to use theoretical and practical knowledge in these areas in complex engineering problems. | |
| 2) | Ability to identify, formulate, and solve complex industrial engineering problems; ability to select and apply appropriate analysis and modeling methods for this purpose. | 2 |
| 3) | Ability to design a complex industrial system, process, device or product to meet specific requirements under realistic constraints and conditions; ability to apply modern design methods for this purpose. | |
| 4) | Ability to develop, select and use modern techniques and tools necessary for the analysis and solution of complex problems encountered in industrial engineering applications; ability to use information technologies effectively. | 2 |
| 5) | Ability to design, conduct experiments, collect data, analyze and interpret results for the study of complex engineering problems or industrial engineering research topics. | |
| 6) | Ability to work effectively within and multidisciplinary teams; individual study skills. | |
| 7) | Ability to communicate effectively orally and in writing; knowledge of at least one foreign language; ability to write effectice reports and understand written reports, to prepare design and production reports, to make effective presentations, to give and receive clear and understandable instructions. | |
| 8) | Awareness of the necessity of lifelong learning; ability to access information, to follow developments in science and technology and to renew continuously. | |
| 9) | To act in accordance with ethical principles, professional and ethical responsibility; information on the standards used in engineering applications. | |
| 10) | Information on business practices such as project management, risk management and change management; awareness of entrepreneurship and innovation; information about sustainable development. | |
| 11) | Knowledge of the effects of industrial engineering practices on health, environment and safety in the universal and social scale and the problems of the era reflected in industrial engineering; awareness of the legal consequences of industrial engineering solutions. |
| Semester Requirements | Number of Activities | Level of Contribution |
| Quizzes | 10 | % 20 |
| Midterms | 1 | % 30 |
| Final | 1 | % 50 |
| total | % 100 | |
| PERCENTAGE OF SEMESTER WORK | % 50 | |
| PERCENTAGE OF FINAL WORK | % 50 | |
| total | % 100 | |
| Activities | Number of Activities | Preparation for the Activity | Spent for the Activity Itself | Completing the Activity Requirements | Workload | ||
| Course Hours | 13 | 0 | 3 | 39 | |||
| Study Hours Out of Class | 13 | 0 | 3 | 39 | |||
| Homework Assignments | 2 | 0 | 1 | 2 | |||
| Quizzes | 5 | 0 | 1 | 5 | |||
| Midterms | 1 | 13 | 2 | 15 | |||
| Final | 1 | 18 | 2 | 20 | |||
| Total Workload | 120 | ||||||