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Prerequisites
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Language of Instruction
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English
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Responsible
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Harun Baldemir, PhD
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Instructors
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Assistants
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Resources
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R1 - Ross, S. M. (2011). An elementary introduction to mathematical finance. Cambridge University Press.
R2 - Lecture Notes
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Supplementary Book
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SB1 - Wilmott, P., Howson, S., Howison, S., & Dewynne, J. (1995). The mathematics of financial derivatives: a student introduction. Cambridge university press.
SB2 - Lamberton, D., & Lapeyre, B. (2007). Introduction to stochastic calculus applied to finance. CRC press.
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Goals
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This course aims that students gain basic financial information and introduce models used in financial markets and to give theoretical explanations of these models and to show how the models can be changed.
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Content
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Normal Random Variables, Brownian Movement and Geometric Brownian Movement, Interest rates, Current Value Analysis, Pricing Contracts through Arbitrage and Arbitrage Theorem, Multi-Period Binomial Model, Black - Scholes Formula, Expected benefit, Portfolio Selection Problem, Value at Risk and Risk-Exposed Conditional Value, Capital Assets Pricing Model
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