FACULTY OF ENGINEERING
Department of Mechatronics Engineering
IE 375 | Course Introduction and Application Information
Course Name |
Financial Engineering
|
Code
|
Semester
|
Theory
(hour/week) |
Application/Lab
(hour/week) |
Local Credits
|
ECTS
|
IE 375
|
Fall/Spring
|
3
|
0
|
3
|
5
|
Prerequisites |
None
|
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Course Language |
English
|
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Course Type |
Service Course
|
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Course Level |
First Cycle
|
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Mode of Delivery | - | |||||
Teaching Methods and Techniques of the Course | Lecture / Presentation | |||||
Course Coordinator | ||||||
Course Lecturer(s) | ||||||
Assistant(s) | - |
Course Objectives | To familiarize students both with the concepts underlying the economic analysis of engineering projects, as well as with the type of mathematical derivations needed in the analysis. |
Learning Outcomes |
The students who succeeded in this course;
|
Course Description | Students will learn to make decisions by taking into account such features as interest rates, and rates of return. They will learn about the concept of arbitrage, and when consideration of such is sufficient to price different investments. Applications to call and put options will be given. Students will learn when arbitrage arguments are not sufficient to evaluate investment opportunities. They will learn to make use of utility theory and mathematical optimization models to determine optimal decisions. Dynamic programming will be introduced and used to solve sequential optimization problems. The use of simulation in financial engineering will be explored. |
|
Core Courses | |
Major Area Courses | ||
Supportive Courses | ||
Media and Management Skills Courses | ||
Transferable Skill Courses |
WEEKLY SUBJECTS AND RELATED PREPARATION STUDIES
Week | Subjects | Related Preparation |
1 | Introduction, Interest Rates and Present Value | An Elementary Introduction to Mathematical Finance: Options and Other Topics, Second ed., Sheldon Ross, Cambridge University Press, 2003 Ch1 |
2 | Rate of Returns | An Elementary Introduction to Mathematical Finance: Options and Other Topics, Second ed., Sheldon Ross, Cambridge University Press, 2003 Ch2 |
3 | Arbitrage and its use in Pricing | An Elementary Introduction to Mathematical Finance: Options and Other Topics, Second ed., Sheldon Ross, Cambridge University Press, 2003 Ch3 |
4 | The Arbitrage Theorem | An Elementary Introduction to Mathematical Finance: Options and Other Topics, Second ed., Sheldon Ross, Cambridge University Press, 2003 Ch3 |
5 | Applications of the Arbitrage Theorem | An Elementary Introduction to Mathematical Finance: Options and Other Topics, Second ed., Sheldon Ross, Cambridge University Press, 2003 Ch3 |
6 | Review and Midterm Exam | |
7 | Geometric Brownian Motion | An Elementary Introduction to Mathematical Finance: Options and Other Topics, Second ed., Sheldon Ross, Cambridge University Press, 2003 Ch4 |
8 | Option Pricing Theory | An Elementary Introduction to Mathematical Finance: Options and Other Topics, Second ed., Sheldon Ross, Cambridge University Press, 2003 Ch5 |
9 | Optimization Models in Financial Engineering | An Elementary Introduction to Mathematical Finance: Options and Other Topics, Second ed., Sheldon Ross, Cambridge University Press, 2003 Ch6 |
10 | Solving Optimization Models by Dynamic Programming | An Elementary Introduction to Mathematical Finance: Options and Other Topics, Second ed., Sheldon Ross, Cambridge University Press, 2003 Ch6 |
11 | Dynamic Programming models | An Elementary Introduction to Mathematical Finance: Options and Other Topics, Second ed., Sheldon Ross, Cambridge University Press, 2003 Ch6 |
12 | Pricing by Expected Utility | An Elementary Introduction to Mathematical Finance: Options and Other Topics, Second ed., Sheldon Ross, Cambridge University Press, 2003 Ch7 |
13 | Simulation and Variance Reduction | An Elementary Introduction to Mathematical Finance: Options and Other Topics, Second ed., Sheldon Ross, Cambridge University Press, 2003 Ch8 |
14 | Simulation Analysis of Exotic Options and Final Review | An Elementary Introduction to Mathematical Finance: Options and Other Topics, Second ed., Sheldon Ross, Cambridge University Press, 2003 Ch8 |
15 | General review and evaluation | |
16 | Review of the Semester |
Course Notes/Textbooks | Textbook: An Elementary Introduction to Mathematical Finance: Options and Other Topics, Second ed., Sheldon Ross, Cambridge University Press, 2003 |
Suggested Readings/Materials |
EVALUATION SYSTEM
Semester Activities | Number | Weigthing |
Participation |
1
|
10
|
Laboratory / Application | ||
Field Work | ||
Quizzes / Studio Critiques | ||
Portfolio | ||
Homework / Assignments |
10
|
10
|
Presentation / Jury |
1
|
10
|
Project | ||
Seminar / Workshop | ||
Oral Exams | ||
Midterm |
1
|
30
|
Final Exam |
1
|
40
|
Total |
Weighting of Semester Activities on the Final Grade |
28
|
60
|
Weighting of End-of-Semester Activities on the Final Grade |
1
|
40
|
Total |
ECTS / WORKLOAD TABLE
Semester Activities | Number | Duration (Hours) | Workload |
---|---|---|---|
Theoretical Course Hours (Including exam week: 16 x total hours) |
16
|
3
|
48
|
Laboratory / Application Hours (Including exam week: '.16.' x total hours) |
16
|
0
|
|
Study Hours Out of Class |
14
|
2
|
28
|
Field Work |
0
|
||
Quizzes / Studio Critiques |
0
|
||
Portfolio |
0
|
||
Homework / Assignments |
10
|
2
|
20
|
Presentation / Jury |
1
|
15
|
15
|
Project |
0
|
||
Seminar / Workshop |
0
|
||
Oral Exam |
0
|
||
Midterms |
1
|
17
|
17
|
Final Exam |
1
|
22
|
22
|
Total |
150
|
COURSE LEARNING OUTCOMES AND PROGRAM QUALIFICATIONS RELATIONSHIP
#
|
Program Competencies/Outcomes |
* Contribution Level
|
||||
1
|
2
|
3
|
4
|
5
|
||
1 | To have knowledge in Mathematics, science, physics knowledge based on mathematics; mathematics with multiple variables, differential equations, statistics, optimization and linear algebra; to be able to use theoretical and applied knowledge in complex engineering problems |
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2 | To be able to identify, define, formulate, and solve complex mechatronics engineering problems; to be able to select and apply appropriate analysis and modeling methods for this purpose. |
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3 | To be able to design a complex electromechanical system, process, device or product with sensor, actuator, control, hardware, and software to meet specific requirements under realistic constraints and conditions; to be able to apply modern design methods for this purpose. |
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4 | To be able to develop, select and use modern techniques and tools necessary for the analysis and solution of complex problems encountered in Mechatronics Engineering applications; to be able to use information technologies effectively. |
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5 | To be able to design, conduct experiments, collect data, analyze and interpret results for investigating Mechatronics Engineering problems. |
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6 | To be able to work effectively in Mechatronics Engineering disciplinary and multidisciplinary teams; to be able to work individually. |
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7 | To be able to communicate effectively in Turkish, both in oral and written forms; to be able to author and comprehend written reports, to be able to prepare design and implementation reports, to present effectively, to be able to give and receive clear and comprehensible instructions. |
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8 | To have knowledge about global and social impact of engineering practices on health, environment, and safety; to have knowledge about contemporary issues as they pertain to engineering; to be aware of the legal ramifications of engineering solutions. |
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9 | To be aware of ethical behavior, professional and ethical responsibility; information on standards used in engineering applications. |
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10 | To have knowledge about industrial practices such as project management, risk management and change management; to have awareness of entrepreneurship and innovation; to have knowledge about sustainable development. |
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11 | Using a foreign language, he collects information about Mechatronics Engineering and communicates with his colleagues. ("European Language Portfolio Global Scale", Level B1) |
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12 | To be able to use the second foreign language at intermediate level. |
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13 | To recognize the need for lifelong learning; to be able to access information; to be able to follow developments in science and technology; to be able to relate the knowledge accumulated throughout the human history to Mechatronics Engineering. |
*1 Lowest, 2 Low, 3 Average, 4 High, 5 Highest