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Course Information

Course Name
Turkish Finans Matematiği
English Financial Mathematics
Course Code
MAT 471E Credit Lecture
(hour/week)
Recitation
(hour/week)
Laboratory
(hour/week)
Semester 7
3 3 - -
Course Language English
Course Coordinator Ahmet Duran
Course Objectives 1. To provide derivatives
2. To provide stochastic models of asset prices
Course Description Introduction to options and stock markets, discrete models, continuous models, stochastic processes, arbitrage pricing theory, Ito’s lemma, Girsanov’s theorem, Feynman-Kac theorem, portfolio theory, forward contracts, Black-Scholes analysis, hedging, fundamental solutions of Black Scholes partial differential equation, numerical methods, option portfolios, applications to European and American markets.
Course Outcomes
Pre-requisite(s)
Required Facilities
Other
Textbook
Other References
 
 
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