期貨與選擇權
Futures and Options
| 節 | 週四 |
|---|---|
5 13:20–14:10 | 期貨與選擇權 M101（光復） 3 節連堂 |
6 14:20–15:10 | |
7 15:30–16:20 |
* 根據陽明交大上課時間表所列
This course will provide a basic understanding of derivatives and derivative valuation. This course will focus on techniques used in the real world to determine fair values and trading strategies for options and futures contracts.
Investments, Probability and Statistics, Basic Programming Skills
無備註
Class materials will be posted on the new e3 (e3.nycu.edu.tw).
作業部份: End of Chapter exercises and some programming homework 考試部份: Midterm and final Exams 評量部份: Midterm Exam (30%); Final Exam (35%); Homework(10%); Quiz (20%) Class Performance (5%)
Forwards and Futures
1. Market/ Strategies 2. Futures/Forward Prices 3. Interest Rates and Interest Rate Futures
- 講授：
- 24
Options
1. Market/ Strategies 2. Binomial Trees 3. The Black-Scholes Model 4. Other related Topics
- 講授：
- 21
| 週次 | 主題 |
|---|---|
| 第 1 週 | Introduction 2023-09-14(四) |
| 第 2 週 | Mechanics of Futures Markets 2023-09-21(四) |
| 第 3 週 | Hedging Strategies Using Futures 2023-09-28(四) |
| 第 4 週 | Interest Rate 2023-10-05(四) |
| 第 5 週 | Interest Rate / Determination of Forward and Futures Prices 2023-10-12(四) |
| 第 6 週 | Determination of Forward and Futures Prices 2023-10-19(四) |
| 第 7 週 | Mechanics of Options Markets / Properties of Stock Options 2023-10-26(四) |
| 第 8 週 | Properties of Stock Options 2023-11-02(四) |
| 第 9 週 | Trading Strategies Involving Options 2023-11-09(四) |
| 第 10 週 | Midterm Exam 2023-11-16(四) |
| 第 11 週 | Binomial Trees 2023-11-23(四) |
| 第 12 週 | Binomial Trees / Valuing Stock Options: The Black-Scholes Model 2023-11-30(四) |
| 第 13 週 | Valuing Stock Options: The Black-Scholes Model 2023-12-07(四) |
| 第 14 週 | Options on Stock Indices and Currencies 2023-12-14(四) |
| 第 15 週 | Interest Rate Futures 2023-12-21(四) |
| 第 16 週 | Duration and Convexity (BKM Chapter 11) 2023-12-28(四) |
| 第 17 週 | Final Exam 2024-01-04(四) |
Options, Futures, and Other Derivatives by Hull, 11th Global Edition (Required) (Slight difference between the global edition and eBook) 期貨與選擇權市場,黃泓人,華泰文化, ISBN:9789869660266 (Reference) Essentials of Investments by Bodie, Kane, and Marcus, 12th Edition, McGraw-Hill (BKM) (Reference)
- 地點
- M419 (管理一館)
- 時間
- Wed 4:30-5:30pm Thr 4:30-5:30pm
- 聯絡方式
- 57076 hhlee@nycu.edu.tw