COURSE INFORMATION Course Title: QUANTITATIVE TECHNIQUES IN FINANCE

Code	Course Type	Regular Semester	Theory	Practice	Lab	Credits	ECTS
BAF 314	D	6	3	0	0	3	6

Academic staff member responsible for the design of the course syllabus (name, surname, academic title/scientific degree, email address and signature)	NA
Lecturer (name, surname, academic title/scientific degree, email address and signature) and Office Hours:	Uğur Ergün
Second Lecturer(s) (name, surname, academic title/scientific degree, email address and signature) and Office Hours:	NA
Teaching Assistant(s) and Office Hours:	NA
Language:	English
Compulsory/Elective:	Elective
Classroom and Meeting Time:
Course Description:	This course will introduce students to econometric methods applied to financial data with the goal of providing them all the necessary tools to understand the main features of financial data. The course begins with an introduction to financial time series and an introduction to AR, ARMA, ARCH and GARCH models. It also introduces high frequency data, continuous time models, multivariate time series and provides methods for computing Value at Risk. By the end of the course the student should be able to apply these tools to real financial problems.
Course Objectives:	To provide students with an understanding of the quantitative techniques in Finance. To understand why statistics and econometrics are important for making decisions in Finance To demonstrate a sound knowledge of related terms To be able to perform statistical and econometrical analysis for the problems in real life finance

COURSE OUTLINE

Week	Topics
1	Introduction
2	Asset returns, distributional properties of asset returns
3	Stationarity, AR and MA models
4	Seasonal Models
5	ARCH and GARCH Models
6	Nonlinear Models
7	Project Presentations
8	Midterm exam
9	High Frequency Data Analysis.
10	Continues time models and applications
11	Extreme Models, Value at Risk
12	Multivariate Time Series Models
13	Presentations
14	Review

Prerequisite(s):
Textbook:	Tsay R.S (2010). Analysis of Financial Time Series 3rd Edition, Wiley.
Other References:
Laboratory Work:
Computer Usage:
Others:	No

COURSE LEARNING OUTCOMES

1	The knowledge and understanding of the unique aspects of financial time series.
2	To understand and evaluate the factors involved in currency exchange rates and stock markets (which influences international costs and profits) and economic conditions.
3	To analyze risk-return relationship in local and international financial markets.
4	To be able to make an accurate prediction using financial data.

COURSE CONTRIBUTION TO... PROGRAM COMPETENCIES (Blank : no contribution, 1: least contribution ... 5: highest contribution)

No	Program Competencies	Cont.
Bachelor in Economics (3 years) Program
1	The students are gained the ability to look at the problems of daily life from a broader perspective. They gain the needed skills not only to understand economic problems in economics but also to construct a model and defend in meaningful way.	4
2	They have knowledge about the microeconomics.	4
3	They have knowledge about the macroeconomics.	5
4	They have knowledge about the international economics and finance.	4
5	They have ability to use mathematical and statistical methods in economics.	3
6	They know how to use computer programs in both daily office usage and statistical data evaluations in public and private sector.	4
7	They have necessary economics skills that needed in private and public sector.	4
8	They are intended to be specialist in one of departmental fields that they choose from the list of general economics, growth and development, labor economics and labor market, environmental economics, agricultural economics, health economics, education economics and human development, political economics, international economics, monetary economics, finance economics, public finance, international financial markets and institutions, banking and central banking, international trade and banking, monetary economics and banking,	4
9	They have ability to utilize fundamental economic theories and tools to solve economic problems in economics.	4
10	They are aware of the fact that economics is a social science and they respect the social perspectives and social values of the society’s ethics.	4

COURSE EVALUATION METHOD

Method	Quantity	Percentage
Project	1	10
Quiz	5	7
Case Study	1	15
Final Exam	1	30
Attendance		10
	Total Percent:	100%

ECTS (ALLOCATED BASED ON STUDENT WORKLOAD)

Activities	Quantity	Duration(Hours)	Total Workload(Hours)
Course Duration (Including the exam week: 16x Total course hours)	16	3	48
Hours for off-the-classroom study (Pre-study, practice)	16	2	32
Mid-terms			0
Assignments	1	10	10
Final examination	1	15	15
Other	9	5	45
Total Work Load:			150
Total Work Load/25(h):			6
ECTS Credit of the Course:			6