Syllabus Application
IE 432
Stochastic Models in Finance
Faculty
Faculty of Engineering and Natural Sciences
Semester
Spring 2025-2026
Course
IE 432 -
Stochastic Models in Finance
Time/Place
Time
Week Day
Place
Date
14:40-15:30
Tue
FENS-G035
Feb 16-May 22, 2026
09:40-11:30
Thu
FASS-1101
Feb 16-May 22, 2026
Level of course
Undergraduate
Course Credits
SU Credit:3, ECTS:6, Basic:2, Engineering:4
Prerequisites
IE 303
Corequisites
-
Course Type
Lecture
Instructor(s) Information
Semih Onur Sezer
- Email: sezer@sabanciuniv.edu
Course Information
Catalog Course Description
The objective of the course is to introduce basic stochastic models and techniques used in mathematical finance. The first half of the course is dedicated to discrete-time models, the other half to their continuous-time counterparts. The topics covered include pricing and hedging in binomial models and Black-Sholes models, fundamental theorems of asset pricing, martingales, Brownian motion, stochastic integration, Itô rule. Depending on the progress in class, we also briefly discuss SDE?s as they appear in continuous-time models.
Course Learning Outcomes:
| 1. | Upon completing this course, students should be able to: Price different instruments in both discrete time binomial models and continuous time Black-Scholes model |
|---|---|
| 2. | Find hedging strategies in different pricing problems |
| 3. | Compute expectations related to random walk and Brownian motion |
| 4. | Apply Ito rule and use it in different problems |
Course Objective
- To introduce the basic stochastic models and techniques used in mathematical finance
- To teach pricing and hedging in binomial models and Black-Sholes models
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- To teach pricing and hedging in binomial models and Black-Sholes models
Course Materials
Resources:
See the syllabus file