Course Name

Code

Semester

Theory
(hour/week)

Application
(hour/week)

Laboratory
(hour/week)

Local Credits

ECTS

Basic Derivative Products and Markets

DOE 501

Fall/Spring

3

0

0

3

7.5

 

 

Prerequisites

:

None

 

Course Language

:

English

Course Type

:

Elective

Course Level

:

Second Cycle

Mode of Delivery

:

Face to face

Course Coordinator

:

Course Lecturer(s)

:

Course Assistants

:

Course Objectives

:

Students gain a thorough understanding of options, futures, and other financial instruments. Skills are developed in basic pricing analysis, use of pricing models, and trading and hedging strategies. Students are first introduced to the basic techniques for pricing, hedging, and other analysis. Next, these techniques will be applied through an introduction of hedging strategies. The end goal is to develop skills which the students can apply in derivative markets.

Course Learning Outcomes

:

The students who succeeded in this course;

  • will be able to be familiar with most of the products that they are likely to encounter in financial markets and compare them.
  • will be able to have good knowledge of how derivative products work and how they are used
  • will be able to explain how derivative instruments are priced and derive some important general results on the relationship between forward and spot prices
  • will be able to have a knowledge of how financial institutions hedge their risks when they trade these products.
  • will be able to implement strategies formed by derivative instruments in their future career.

Course Content

:

This course examines the purpose and function of derivative markets and instruments, the evolution and future of derivative markets, market participants, exchange traded versus overthecounter markets (OTC), the suite of exchange traded products, selected OTC products, derivative pricing, risk management with derivatives, trading, arbitrage and speculation with derivatives, the use of derivatives in alternative investing. The course will incorporate theory, practice, and experiential learning and will include team projects.

Recommended Optional Program Components

:

None

 

Week

Subjects

Related Preparation

1

Chapters 1 and 2: Introduction

John C. Hull, Fundamentals of Futures and Options Markets, (Pearson, 2011, 7e)

2

Chapter 3: Hedging Strategies Using Futures

John C. Hull, Fundamentals of Futures and Options Markets, (Pearson, 2011, 7e)

3

Chapter 4: Interest Rates

John C. Hull, Fundamentals of Futures and Options Markets, (Pearson, 2011, 7e)

4

Chapter 5: Determination of Forward and Futures Prices

John C. Hull, Fundamentals of Futures and Options Markets, (Pearson, 2011, 7e)

5

Chapter 6: Interest Rate Futures

John C. Hull, Fundamentals of Futures and Options Markets, (Pearson, 2011, 7e)

6

Chapter 7: Swaps, Securitization, and the Crisis

John C. Hull, Fundamentals of Futures and Options Markets, (Pearson, 2011, 7e)

7

Chapter 8: Securitization and the Crisis

John C. Hull, Fundamentals of Futures and Options Markets, (Pearson, 2011, 7e)

8

Chapters 9 and 10: Properties of Options

John C. Hull, Fundamentals of Futures and Options Markets, (Pearson, 2011, 7e)

9

Chapter 11 and 12: Trading Strategies and Binomial Trees

John C. Hull, Fundamentals of Futures and Options Markets, (Pearson, 2011, 7e)

10

Chapter 13 and 14: Pricing of Stock Options

John C. Hull, Fundamentals of Futures and Options Markets, (Pearson, 2011, 7e)

11

Chapters 15 and 16: Options on Stock Indices, Currencies, and Futures

John C. Hull, Fundamentals of Futures and Options Markets, (Pearson, 2011, 7e)

12

Chapters 17: The Greeks

John C. Hull, Fundamentals of Futures and Options Markets, (Pearson, 2011, 7e)

13

Chapters 18 and 19: Binomial Trees in Practice and Volatility Smiles

John C. Hull, Fundamentals of Futures and Options Markets, (Pearson, 2011, 7e)

14

Chapter 25: Derivatives Mishaps and Course Review

John C. Hull, Fundamentals of Futures and Options Markets, (Pearson, 2011, 7e)

15

Review of the Semester

 

16

Review of the Semester

 

 

Course Notes / Textbooks

:

Book Chapters and Powerpoint slides

References

:

Fundamentals of Futures and Options Markets, John C. Hull, 2011, Pearson

 

Semester Requirements

Number

Percentage of Grade

Attendance

Laboratory

Application

Field Work

Special Course Internship (Work Placement)

Quizzes

Homework Assignments

15

45

Presentation

Project

Seminar

Midterms

Final

1

55

Total

100

 

PERCENTAGE OF SEMESTER WORK

45

PERCENTAGE OF FINAL WORK

55

TOTAL

100

 

Course Category

(Only one category will be chosen)

Core Courses

Major Area Courses

X

Supportive Courses

Media and Management Skills Courses

Transferable Skill Courses

 

Program Qualifications / Outcomes

* Level of Contribution

1

2

3

4

5

1

Reinforcing the quantitative and analytical thinking ability gained throughout the undergraduate level and to gain critical point of view

X

2

To gain competency and be adequately equipped about the financial markets and instruments and to be able to efficiently communicate and explain them to the industry specialists.

X

3

To be able to use the basic knowledge gathered from other fields including managament, mathematics towards financial decision making and applications by utilizing an interdisciplinary approach and be able to act consistent with ethical values.

X

4

To gain consciousness about the universality of social rights, social justice, quality and cultural values together with environment protection, occupational health and security.

X

5

Collecting data, analyze them and creating solutions to the complicated problems emerging from the complex structure of the financial decision making process

X

6

To have a basic understanding about the legal infrastructure regarding the capital market institutions and instruments,

X

7

Developing efficient communications skills in accordance with the social dimension of the program, even though the program is quantitative oriented.

X

8

Having a good command of foreign language in order to communicate efficiently,

X

9

To acquire necessary skills and background to comprehend the fundamental software used in financial decision making and forecasting process.

X

10

To carry out and take responsibility in the projects belong to the field and identify appropriate aims and targets.

X

*1 Lowest, 2 Low, 3 Average, 4 High, 5 Highest

Activities

Number

Duration (Hours)

Total Workload

Course Hours (Including Exam Week: 16 x Total Hours)

16

3

48

Laboratory

Application

Special Course Internship (Work Placement)

Field Work

Study Hours Out of Class

16

5

80

Presentations / Seminar

Project

1

20

20

Homework Assignments

10

5

50

Quizzes

Midterms

1

15

15

Final

1

12

12

 

 

Total Workload

225