Bilgisayar Mühendisliği

IE 375 | Ders Tanıtım Bilgileri

Dersin Adı

Financial Engineering

Kodu	Yarıyıl	Teori (saat/hafta)	Uygulama/Lab (saat/hafta)	Yerel Kredi	AKTS
IE 375	FALL	3	0	3	5

Ön-Koşul(lar)	Yok
Dersin Dili	English
Dersin Türü	ELECTIVE_COURSE
Dersin Düzeyi	Lisans
Dersin Veriliş Şekli	Face-To-Face
Dersin Öğretim Yöntem ve Teknikleri	Lecture/Presentation
Ulusal Meslek Sınıflandırma Kodu	-
Dersin Koordinatörü	Dr. Öğr. Üyesi Caner Taçoğlu
Öğretim Eleman(lar)ı	Dr. Öğr. Üyesi Caner Taçoğlu
Yardımcı(ları)	-

Dersin Amacı

The aim of this course is to teach the fundamental concepts related to engineering projects, enable economic analysis using analytical methods, and evaluate different investment options using these analysis techniques.

Öğrenme Çıktıları

Bu dersi başarıyla tamamlayabilen öğrenciler;

Ad	Açıklama	PC Alt	* Katkı Düzeyi
Ad	Açıklama	PC Alt	1	2	3	4	5
LO1	Students will be able to explain fundamental concepts of financial engineering such as interest rates, present value, and returns.	1.5			X
LO2	Students will be able to analyze arbitrage opportunities in markets and their applications in pricing using the arbitrage theorem.	4		X
LO3	Students will be able to analytically examine various financial problems using geometric Brownian motion and option pricing theory.	4		X
LO4	Students will be able to analyze optimization models encountered in financial engineering using appropriate solution methods.	4		X
LO5	Students will be able to apply pricing strategies developed within the framework of the expected utility principle for the valuation of financial products.	4		X
LO6	Students will gain knowledge of pricing and analyzing exotic options using simulation and variance reduction techniques.	4		X

Ders Tanımı

Interest Rates, Present Value, Returns, Arbitrage and Their Uses in Pricing; Arbitrage Theorem and Applications; Geometric Brownian Motion; Option Pricing; Optimization Models in Financial Engineering; Dynamic Programming and Its Applications in Financial Engineering; Expected Utility Principle; Simulation and Variance Reduction Techniques

Dersin İlişkili Olduğu Sürdürülebilir Kalkınma Amaçları

Dersin Kategorisi	Temel Ders
	Uzmanlık/Alan Dersleri	X
	Destek Dersleri
	İletişim ve Yönetim Becerileri Dersleri
	Aktarılabilir Beceri Dersleri

HAFTALIK KONULAR VE İLGİLİ ÖN HAZIRLIK ÇALIŞMALARI

Hafta	Konular	Ön Hazırlık	Öğrenme Çıktısı
1	Introduction, Interest Rate, and Present Value	Ross, S. M. (2011). Chp 1	LO1
2	Returns	Ross, S. M. (2011). Chp 2	LO1
3	Arbitrage and Its Applications in Pricing	Ross, S. M. (2011). Chp 3	LO2
4	Arbitrage Theorem	Ross, S. M. (2011). Chp 3	LO2
5	Arbitraj teoremi uygulamaları	Ross, S. M. (2011). Chp 3	LO2
6	Applications of the Arbitrage Theorem	Ross, S. M. (2011). Chp 4	LO3
7	Option Pricing Theory	Ross, S. M. (2011). Chp 5	LO3
8	Midterm exam		-
9	Optimization Models in Financial Engineering	Ross, S. M. (2011). Chp 6	LO4
10	Solving Optimization Models by Dynamic Programming	Ross, S. M. (2011). Chp 6	LO4
11	Dynamic Programming models	Ross, S. M. (2011). Chp 6	LO4
12	Pricing by Expected Utility	Ross, S. M. (2011). Chp 7	LO5
13	Simulation and Variance Reduction	Ross, S. M. (2011). Chp 8	LO6
14	Simulation Analysis of Exotic Options and Final Review	Ross, S. M. (2011). Chp 9	LO6
15	Review		-
16	Final Exam		-

Ders Kitabı	Textbook An Elementary Introduction to Mathematical Finance Options and Other Topics Second ed. Sheldon Ross Cambridge University Press 2003
Önerilen Okumalar/Materyaller	-

DEĞERLENDİRME ÖLÇÜTLERİ

Yarıyıl Aktiviteleri	Sayı	Katkı Payı %	LO1	LO2	LO3	LO4	LO5	LO6
Final Sınavı	1	35	X	X	X	X	X	X
Ara Sınav	1	35	X	X	X
Ödev	2	15	X	X	X	X	X	X
Küçük Sınav / Stüdyo Kritiği	2	15	X	X		X	X
Toplam	6	100

AKTS / İŞ YÜKÜ TABLOSU

Yarıyıl Aktiviteleri	Sayı	Süre (Saat)	İş Yükü
Katılım	-	-	-
Teorik Ders Saati	16	3	48
Laboratuvar / Uygulama Ders Saati	-	-	-
Sınıf Dışı Ders Çalışması	14	2	28
Arazi Çalışması	-	-	-
Küçük Sınav / Stüdyo Kritiği	2	9	18
Portfolyo	-	-	-
Ödev	2	9	18
Sunum / Jüri Önünde Sunum	-	-	-
Proje	-	-	-
Seminer/Çalıştay	-	-	-
Sözlü Sınav	-	-	-
Ara Sınavlar	1	16	16
Final Sınavı	1	22	22
		Toplam	150

DERSİN ÖĞRENME ÇIKTILARININ PROGRAM YETERLİLİKLERİ İLE İLİŞKİSİ

#	PC Alt	Program Yeterlilikleri / Çıktıları	* Katkı Düzeyi
#	PC Alt	Program Yeterlilikleri / Çıktıları	1	2	3	4	5
1	Engineering Knowledge: Knowledge of mathematics, science, basic engineering, computation, and related engineering discipline-specific topics; the ability to apply this knowledge to solve complex engineering problems.
	1	Mathematics
	2	Science
	3	Basic Engineering
	4	Computation
	5	Related engineering discipline-specific topics			LO1
	6	The ability to apply this knowledge to solve complex engineering problems
2	Problem Analysis: Ability to identify, formulate and analyze complex engineering problems using basic knowledge of science, mathematics and engineering, and considering the UN Sustainable Development Goals relevant to the problem being addressed.
3	Engineering Design: The ability to devise creative solutions to complex engineering problems; the ability to design complex systems, processes, devices or products to meet current and future needs, considering realistic constraints and conditions.
	1	Ability to design creative solutions to complex engineering problems
	2	Ability to design complex systems, processes, devices or products to meet current and future needs, considering realistic constraints and conditions
4	Use of Techniques and Tools: Ability to select and use appropriate techniques, resources, and modern engineering and computing tools, including estimation and modeling, for the analysis and solution of complex engineering problems, while recognizing their limitations.			LO2 LO3 LO4 LO5 LO6
5	Research and Investigation: Ability to use research methods to investigate complex engineering problems, including literature research, designing and conducting experiments, collecting data, and analyzing and interpreting results.
	1	Literature research for the study of complex engineering problems
	2	Designing experiments
	3	Ability to use research methods, including conducting experiments, collecting data. analyzing and interpreting results
6	Global Impact of Engineering Practices: Knowledge of the impacts of engineering practices on society, health and safety, economy, sustainability, and the environment, within the context of the UN Sustainable Development Goals; awareness of the legal implications of engineering solutions.
	1	Knowledge of the impacts of engineering practices on society, health and safety, economy, sustainability, and the environment, within the context of the UN Sustainable Development Goals
	2	Awareness of the legal implications of engineering solutions
7	Ethical Behavior: Acting in accordance with the principles of the engineering profession, knowledge about ethical responsibility; awareness of being impartial, without discrimination, and being inclusive of diversity.
	1	Acting in accordance with the principles of the engineering profession, knowledge about ethical responsibility ethical responsibility
	2	Awareness of being impartial and inclusive of diversity, without discriminating on any subject
8	Individual and Teamwork: Ability to work effectively, individually and as a team member or leader on interdisciplinary and multidisciplinary teams (face-to-face, remote or hybrid).
	1	Ability to work individually and within the discipline
	2	Ability to work effectively as a team member or leader in multidisciplinary teams (face-to-face, remote or hybrid)
9	Verbal and Written Communication: Taking into account the various differences of the target audience (such as education, language, profession) on technical issues.
	1	Ability to communicate verbally
	2	Ability to communicate effectively in writing
10	Project Management: Knowledge of business practices such as project management and economic feasibility analysis; awareness of entrepreneurship and innovation.
	1	Knowledge of business practices such as project management and economic feasibility analysis
	2	Awareness of entrepreneurship and innovation
11	Lifelong Learning: Lifelong learning skills that include being able to learn independently and continuously, adapting to new and developing technologies, and thinking questioningly about technological changes.