Academic Catalog


Course Code: 9700550
METU Credit (Theoretical-Laboratory hours/week): 3(3-0)
ECTS Credit: 8.0
Department: Institute Of Applied Mathematics
Language of Instruction: English
Level of Study: Graduate
Course Coordinator:
Offered Semester: Fall or Spring Semesters.

Course Content

Mean-Variance (Markowits) analysis; continuous-time market model in finance;option and exotic options, pricing (valuation) of options; self-finansing , optimal strategies, optimal portfolios (problems); martingale method; stochastic control amd portfolio optimization.