IE 440 - Introduction to Financial Engineering

IE 440 dersi sayısal Finans alanında temel teori ve uygulamaların anlatıldığı önemli bir derstir. Öğrenci arkadaşlar çoğunlukla ilk defa gördükleri kavramları anlamakta zorlanıyorlar. Biz  bu temel kavramları tamamıyla anlatıyor, hocanın karmaşık ders notlarını basitleştiriyor ve soruların çözümünde yol gösteriyoruz.

 

Ders Tanıtımı:

Financial markets (bonds, stocks, futures, forwards, options, interest rates and their term structures), models of security prices (Brownian motion, geometric Brownian motions, Ornstein-Uhlenbeck processes, Cox-Ross-Rubinstein binomial model, Merton-Black-Scholes model), pricing and hedging financial derivatives (Ito's rule, stochastic integration, diffusion processes, probabilistic solutions of PDEs, no-arbitrage pricing in a complete market of futures, forwards, European and American type options, pricing in incomplete markets), Hedging with futures and options, bond hedging, numerical methods (pricing using trees, Monte-Carlo simulations, finite-difference methods), mean-variance analysis of portfolios, value at risk, optimal consumption and portfolio strategies (formulations and solutions of appropriate dynamic programming models and Hamilton-Jacobi-Bellman equations).

 

Haftalık Konular: 

  1. Introduction: A Simple Market Model

  2. Risk-Free Assets

  3. Portfolio Optimization with Two Assets

  4. Portfolio Optimization with Multiple Assets, The Capital Asset Pricing Model

  5. Forward and Futures Contracts

  6. General Properties of Options

  7. Review for the Midterm Exam

  8. The Binomial Model

  9. Fundamental Theorems of Asset Pricing

  10. From Discrete to Continuous Time

  11. The Black-Scholes Model

  12. Itô Formula, The Black-Scholes Partial Differential Equation

  13. Black-Scholes Formula, Hedging with Greeks

  14. Review for the Final Exam

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