Visit of broadAngle in Izmir University of Economics
Garrison Atkisson, co-founder and CEO of broadAngle (https://www.broadangle.com/), a software company operating in the US and Izmir, and Nihatcan Çolpan, ...
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Department of Software 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
|
|||||
| Course Language |
English
|
|||||
| Course Type |
Elective
|
|||||
| Course Level |
First Cycle
|
|||||
| Mode of Delivery | - | |||||
| Teaching Methods and Techniques of the Course | Lecture / Presentation | |||||
| National Occupation Classification | - | |||||
| 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 |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||
| 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 | Learning Outcome |
| 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 | LO 1 | LO 2 | LO 3 | LO 4 | LO 5 |
| 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
|
#
|
PC Sub | Program Competencies/Outcomes |
* Contribution Level
|
||||
|
1
|
2
|
3
|
4
|
5
|
|||
| 1 |
Engineering Knowledge: Knowledge of mathematics, science, basic engineering, computer computation, and topics specific to related engineering disciplines; the ability to use this knowledge in solving complex engineering problems |
-
|
-
|
-
|
-
|
-
|
|
| 1 |
Mathematics |
-
|
-
|
-
|
-
|
-
|
|
| 2 |
Science |
-
|
-
|
-
|
-
|
-
|
|
| 3 |
Basic engineering |
-
|
-
|
-
|
-
|
-
|
|
| 4 |
Computer computation |
-
|
-
|
-
|
-
|
-
|
|
| 5 |
Topics specific to related engineering disciplines |
-
|
-
|
-
|
-
|
-
|
|
| 6 |
The ability to use this knowledge in solving complex engineering problems |
-
|
-
|
-
|
-
|
-
|
|
| 2 |
Problem Analysis: The ability to define, formulate, and analyze complex engineering problems by using fundamental science, mathematics, and engineering knowledge, while considering the relevant UN Sustainable Development Goals (SDGs) related to the problem. |
-
|
-
|
-
|
-
|
-
|
|
| 3 |
Engineering Design: The ability to design creative solutions to complex engineering problems; the ability to design complex systems, processes, devices, or products that meet present and future requirements, considering realistic constraints and conditions. |
-
|
-
|
-
|
-
|
-
|
|
| 1 |
The ability to design creative solutions to complex engineering problems |
-
|
-
|
-
|
-
|
-
|
|
| 2 |
Considering realistic constraints and conditions in designing complex systems, processes, devices, or products |
-
|
-
|
-
|
-
|
-
|
|
| 3 |
The ability to design in a way that meets current and future requirements |
-
|
-
|
-
|
-
|
-
|
|
| 4 |
Use of Techniques and Tools: The ability to select and use appropriate techniques, resources, and modern engineering and information technology tools, including prediction and modeling, for the analysis and solution of complex engineering problems, while being aware of their limitations |
-
|
-
|
-
|
-
|
-
|
|
| 5 |
Research and Investigation: The ability to use research methods, including literature review, designing experiments, conducting experiments, collecting data, analyzing and interpreting results, for the investigation of complex engineering problems. |
-
|
-
|
-
|
-
|
-
|
|
| 1 |
The ability to use research methods, including literature review |
-
|
-
|
-
|
-
|
-
|
|
| 2 |
Designing experiments |
-
|
-
|
-
|
-
|
-
|
|
| 3 |
Conducting experiments, collecting data, analyzing and interpreting results, for the investigation of complex engineering problems |
-
|
-
|
-
|
-
|
-
|
|
| 6 |
Global Impact of Engineering Practices: Knowledge of the impacts of engineering practices on society, health and safety, the economy, sustainability, and the environment within the scope of the UN Sustainable Development Goals (SDGs); awareness of the legal consequences of engineering solutions |
-
|
-
|
-
|
-
|
-
|
|
| 1 |
Global Impact of Engineering Practices: Knowledge of the impacts of engineering practices on society, health and safety, the economy, sustainability, and the environment within the scope of the UN Sustainable Development Goals (SDGs) |
-
|
-
|
-
|
-
|
-
|
|
| 2 |
Awareness of the legal consequences of engineering solutions |
-
|
-
|
-
|
-
|
-
|
|
| 7 |
Ethical Behavior: Acting in accordance with the principles of the engineering profession; knowledge of ethical responsibility; awareness of acting impartially and inclusively, without discrimination in any matter. (FENG101) |
-
|
-
|
-
|
-
|
-
|
|
| 1 |
Acting in accordance with the principles of the engineering profession; knowledge of ethical responsibility |
-
|
-
|
-
|
-
|
-
|
|
| 2 |
Awareness of acting impartially and inclusively, without discrimination in any matter. |
-
|
-
|
-
|
-
|
-
|
|
| 8 |
Individual and Team Work: The ability to work effectively as an individual and as a member or leader of both intra-disciplinary and interdisciplinary teams (whether 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), particularly in technical matters. |
-
|
-
|
-
|
-
|
-
|
|
| 1 |
Verbal (ENGxxx) |
-
|
-
|
-
|
-
|
-
|
|
| 2 |
Written effective communication skills. (ENGxxx) |
-
|
-
|
-
|
-
|
-
|
|
| 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; (FENG497-FENG498) |
-
|
-
|
-
|
-
|
-
|
|
| 2 |
Awareness of entrepreneurship and innovation. (FENG101) |
-
|
-
|
-
|
-
|
-
|
|
| 11 |
Lifelong Learning: The ability to learn independently and continuously, adapt to new and emerging technologies, and think critically about technological changes. |
-
|
-
|
-
|
-
|
-
|
|
*1 Lowest, 2 Low, 3 Average, 4 High, 5 Highest
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