FACULTY OF ENGINEERING
Department of Food 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 | |||||
| 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 |
The students who succeeded in this course;
|
| 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 |
| 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 |
| 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
|
#
|
Program Competencies/Outcomes |
* Contribution Level
|
||||
|
1
|
2
|
3
|
4
|
5
|
||
| 1 | Being able to transfer knowledge and skills acquired in mathematics and science into engineering, | |||||
| 2 | Being able to identify and solve problem areas related to Food Engineering, | |||||
| 3 | Being able to design projects and production systems related to Food Engineering, gather data, analyze them and utilize their outcomes in practice, | |||||
| 4 | Having the necessary skills to develop and use novel technologies and equipment in the field of food engineering, |
|||||
| 5 | Being able to take part actively in team work, express his/her ideas freely, make efficient decisions as well as working individually, |
|||||
| 6 | Being able to follow universal developments and innovations, improve himself/herself continuously and have an awareness to enhance the quality, |
|||||
| 7 | Having professional and ethical awareness, |
|||||
| 8 | Being aware of universal issues such as environment, health, occupational safety in solving problems related to Food Engineering, | |||||
| 9 | Being able to apply entrepreneurship, innovativeness and sustainability in the profession, |
|||||
| 10 | Being able to use software programs in Food Engineering and have the necessary knowledge and skills to use information and communication technologies that may be encountered in practice (European Computer Driving License, Advanced Level), |
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| 11 | Being able to gather information about food engineering and communicate with colleagues using a foreign language ("European Language Portfolio Global Scale", Level B1) |
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| 12 | Being able to speak a second foreign language at intermediate level. |
|||||
| 13 | Being able to relate the knowledge accumulated during the history of humanity to the field of expertise |
|||||
*1 Lowest, 2 Low, 3 Average, 4 High, 5 Highest
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