INSTITUTE OF APPLIED MATHEMATICS

PhD in Financial Mathematics

  • Compulsory Courses

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

    The purpose of this course is to introduce the student to the area of investment with emphasis upon why individuals and institutions invest and how they invest. Topics include measures of risk and return; capital and money markets; process and techniques of investment valuation; principles of fundamental analysis; technical analysis; analysis and management of bonds; analysis of alternative investments; portfolio theory and application.

    See the course in IAM Catalogue or METU Catalogue

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

    Program of research leading to Ph.D. degree arranged between the student and a faculty member. Students register to this course in all semesters starting from the beginning of their second semester while the research program or write up of thesis is in progress.

    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.

    See the course in IAM Catalogue or METU Catalogue

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

    Financial modelling beyond Black-Scholes Model. Stochastic processes. Building Lévy processes. Option pricing with stochastic processes: Stochastic calculus for semimartingales, change of measure, exponential Lévy processes, stochastic volatility models, pricing with stochastic volatility models. Hedging in incomplete markets, risk-neutral modeling. Integro-partial differential equations. Further topics in numerical solutions, simulation and calibration of stochastic processes.

    See the course in IAM Catalogue or METU Catalogue

    Credit: 0(0-2); ECTS: 10.0

    This course is designed to provide students with a chance to prepare and present a professional seminar on subjects of their own choice. Students can work independently in issues that require expertise; they can share and make presentations of their research both verbally and in written form.

    See the course in IAM Catalogue or METU Catalogue

    4 Elective Courses (Total 21 credits)

See IAM Catalogue for possible elective courses.

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