## Courses

##### Last Updated:

All Courses @ IAM Actuarial Sciences Cryptography Financial Mathematics Scientific Computing

### Selected Courses for Financial Mathematics

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
0(0-0); **ECTS: **
50.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
2(2-0); **ECTS: **
6.0

LaTeX and Matlab; Basic Commands and Syntax of LaTeX and Matlab; Working within a Research Group via Subversion; Arrays and Matrices; Scripts and Function in Matlab; Commands and Environments in LaTeX; More on Matlab Functions; Toolboxes of Matlab; Packages in LaTeX; Graphics in Matlab; Handling Graphics and Plotting in LaTeX; Advanced Techniques in Matlab: memory allocation, vectoristaion, object orientation, scoping, structures, strings, file streams.

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**Credit: **
2(2-0); **ECTS: **
6.0

Review of Programming and Toolboxes, Packages, Modules; Iterative Linear Algebra Problems; Root Finding Programs; Recursive Functions and Algorithms; Optimisation Algorithms; Data Fitting and Interpolation; Extrapolation; Numerical Integration; Numerical Solutions of Differential Equations: IVPs and BVPs; Selected Topics (algorithms and coding in different fields).

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**Credit: **
0(0-0); **ECTS: **
130.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

**Numerical Methods for Discrete Time Models:**binomial method for options; discrete time optimal control problems.

**Reminders on Continuous Models:**Ito process and its applications in stock market, Black-Scholes equation and its solution; Hedging, Volatility smile.

**Monte Carlo Method for Options:**generating random numbers, transformation of random variables and generating normal variates; Monte Carlo integration; pricing by Monte Carlo integration; variance reduction techniques, quasi-random numbers and quasi-Monte Carlo method.

**Finite Difference Methods for Options:**explicit and implicit finite difference schemes, Crank-Nicolson method; Free-Boundary Problems for American options.

**Finite Difference Methods for Control Problems:**Markov Chain approximation method, elliptic Hamiltion-Jacobi-Bellman equations, computational methods.

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**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

Important markets such as commodities or credit derivatives are essentially incomplete. The recent financial crisis has increased even more the importance of pricing and hedging in incomplete markets. Therefore these lectures concentrate on advanced methods of stochastic finance required in the context of incomplete markets. We will consider both, process in discrete and continuous time.

The content of the course covers in particular the following topics: market efficiency, market incompleteness; perfect hedges; equivalent martingale measures; attainable payoffs; asset management; contingent claims; replicating portfolio; dynamical arbitrage theory; arbitrage-free pricing; geometric characterization of arbitrage; von Neumann representation; robust Savage representation; expected utility; fair value; certainty equivalent; risk premium; risk aversion; equilibrium pricing; relative entropy; convex risk measures; robust representation; coherent risk measures; VAR; average VAR; upper/lower hedging prices; superhedging duality; risk indifference pricing; HJB equations; dynamical programming.

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(2-2); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(0-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(0-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue

**Credit: **
3(3-0); **ECTS: **
8.0

See the course in IAM Catalogue or METU Catalogue