衍生性商品理論
Theory of Derivatives
| 節 | 週四 |
|---|---|
2 09:00–09:50 | 衍生性商品理論 M-b09（光復） 3 節連堂 |
3 10:10–11:00 | |
4 11:10–12:00 |
* 根據陽明交大上課時間表所列
課程內容著重於金融商品評價模型與方法的講授與研究討論,適合有志於財務工程領域同學修讀。
期貨與選擇權
無備註
教師未提供此項資料
課堂參與 (20%)、作業練習 (30%)、期中考 (25%) 期末考或期末報告 (25%)
Models and Numerical Procedures
1.Binomial Trees 2.Finite Difference Methods 3.Monte Carlo Simulation 4.the VaR measure 5.the GARCH model 6.Default Probabilities and Recovery Rates 7.More on Models and Numerical Procedures
- 講授：
- 60%
- 實作：
- 40%
Interest Rate Risk and Derivatives
1.Black’s Model 2.Equilibrium Models 3.No-arbitrage Models 4.the HJM Model 5.the LIBOR Market Model
- 講授：
- 80%
- 實作：
- 20%
| 週次 | 主題 |
|---|---|
| 第 1 週 | Basic Numerical Procedures |
| 第 2 週 | Basic Numerical Procedures |
| 第 3 週 | Value at Risk |
| 第 4 週 | Estimating Volatilities and Correlations |
| 第 5 週 | Credit Risk |
| 第 6 週 | Credit Derivatives |
| 第 7 週 | Exotic Options (Optional) |
| 第 8 週 | More on Models and Numerical Procedures (Optional) |
| 第 9 週 | 期中考周 |
| 第 10 週 | Martingales and Measures |
| 第 11 週 | Martingales and Measures |
| 第 12 週 | Interest Rate Derivatives: the Standard Market Models |
| 第 13 週 | Interest Rate Derivatives: the Standard Market Models |
| 第 14 週 | Convexity, Timing, and Quanto Adjustments (Optional) |
| 第 15 週 | Interest Rate Derivatives: Models of the Short Rate |
| 第 16 週 | Interest Rate Derivatives: Models of the Short Rate |
| 第 17 週 | Interest Rate Derivatives: HJM and LMM |
| 第 18 週 | 學期考試 |
Options, Futures, and Other Derivatives, by J. C. Hull, 9th ed.
- 地點
- 管一館411室
- 時間
- (三)X(四)X
- 聯絡方式
- Appointment by Email jiahau@faculty.nctu.edu.tw 03-5733260