|
|
| DUML7261 | Maritime Mathematics | 3+0+0 | ECTS:7.5 | | Year / Semester | Fall Semester | | Level of Course | Third Cycle | | Status | Elective | | Department | DEPARTMENT of MARITIME TRANSPORTATION and MANAGEMENT ENGINEERING | | Prerequisites and co-requisites | None | | Mode of Delivery | | | Contact Hours | 14 weeks - 3 hours of lectures per week | | Lecturer | Doç. Dr. Devran YAZIR | | Co-Lecturer | Assoc. Prof. Dr. Devran YAZIR | | Language of instruction | Turkish | | Professional practise ( internship ) | None | | | | The aim of the course: | | To learn the options used in the maritime field. To learn Black-Scholes option model, to learn call option and put option pricing equations. Examining the effects of volatility, risk-free interest rate, time and implementation price. To work on new option models. |
| Programme Outcomes | CTPO | TOA | | Upon successful completion of the course, the students will be able to : | | | | PO - 1 : | What is the option? and to learn the types of options. | 1,4 | 3, | | PO - 2 : | What is the European Type option? What is an American Type option? What are the similarities between the differences? to look for answers to your questions. | 1,4 | 3, | | PO - 3 : | Examine the effects of the parameters in the Call optionand Put option equations. To examine the effects of volatility on risk-free interest rates. | 1,4 | 3, | | PO - 4 : | Be informed about similarity solutions. | 1,4 | 3, | | PO - 5 : | To examine the Black-Scholes option model and observe the effect of the model parameters in the Matlab program. | 1,4 | 3, | | PO - 6 : | To inform about the least squares method for linear equations. | 1,4 | 3, | | CTPO : Contribution to programme outcomes, TOA :Type of assessment (1: written exam, 2: Oral exam, 3: Homework assignment, 4: Laboratory exercise/exam, 5: Seminar / presentation, 6: Term paper), PO : Learning Outcome | | |
| Call option and Put option, European type options, American type options, asset price, volatility, risk-free interest rate, exercises price, Black-Scholes option model, Similarity solutions, Linear regression approach for Black-Scholes option model, to examine the changes in the options premium by changing the parameters in the mathematical equations of the option models, Creating option models in the Matlab GUI interface. |
| |
| Course Syllabus | | Week | Subject | Related Notes / Files | | Week 1 | What is the option? and to learn the types of options. | | | Week 2 | What is the European Type option? What is an American Type option? What are the similarities between the differences? to look for answers to your questions. | | | Week 3 | Examine the effects of the parameters in the Call optionand Put option equations. To examine the effects of volatility on risk-free interest rates. | | | Week 4 | Be informed about similarity solutions. | | | Week 5 | To examine the Black-Scholes option model and observe the effect of the model parameters in the Matlab program. | | | Week 6 | To inform about the least squares method for linear equations. | | | Week 7 | To obtain linear models for the Black-Scholes option model.
| | | Week 8 | To compare the results of the obtained linear model with that of the Black-Scholes model. | | | Week 9 | Midterm Exam (Term Study) | | | Week 10 | To examine the effects of the obtained linear model parameters. | | | Week 11 | To examine the effects of the obtained linear model parameters. | | | Week 12 | To compare the easy or difficult aspects of the effectiveness of the parameters in the Black-Scholes model with the linear model. | | | Week 13 | To compare the easy or difficult aspects of the effectiveness of the parameters in the Black-Scholes model with the linear model. | | | Week 14 | To compare the easy or difficult aspects of the effectiveness of the parameters in the Black-Scholes model with the linear model. | | | Week 15 | To compare the easy or difficult aspects of the effectiveness of the parameters in the Black-Scholes model with the linear model. | | | Week 16 | Final Exam. | | | |
| 1 | Wilmot, P., Howıson, S. ve Dewynne, J., The Mathematics Of Financial Derivatives, New York, 1995. | | | |
| 1 | Yıldırak, K., Çalışkan, N. ve Çetinkaya, Ş., Türev Ürün Fiyatlama Teknikleri, 1. Baskı, Literatür Yayıncılık, İstanbul. | | | |
| Method of Assessment | | Type of assessment | Week No | Date | Duration (hours) | Weight (%) | | Mid-term exam | 9 | 18.04.2024 | 2 | 30 | | In-term studies (second mid-term exam) | 12 | 16.05.2024 | 2 | 20 | | Homework/Assignment/Term-paper | 16 | 14.06.2024 | | 50 | | |
| Student Work Load and its Distribution | | Type of work | Duration (hours pw) | No of weeks / Number of activity | Hours in total per term | | Yüz yüze eğitim | 3 | 14 | 42 | | Sınıf dışı çalışma | 3 | 9 | 27 | | Arasınav için hazırlık | 3 | 9 | 27 | | Arasınav | 1 | 2 | 2 | | Ödev | 3 | 7 | 21 | | Dönem sonu sınavı için hazırlık | 3 | 6 | 18 | | Dönem sonu sınavı | 1 | 2 | 2 | | Diğer 1 | 3 | 6 | 18 | | Total work load | | | 157 |
|