期貨與選擇權
Futures and Options
| 節 | 週四 |
|---|---|
2 09:00–09:50 | 期貨與選擇權 M101（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
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 or Financial Management (Undergraduate level), 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 (25%); Final Exam (30%); Homework (40%); Class Performance (5%)
Forwards, Futures, and Swaps
1. Market/ Strategies 2. Futures/Forward Prices 3. Interest Rates and Interest Rate Futures
- 講授：
- 18
Options
1. Market 2. Weinor Processes and Ito's Lemma 3. The Black-Scholes Model 4. Numerical Methods 5. Greek Letters 6. Other related Topics
- 講授：
- 24
| 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 Rates 2023-10-05(四) |
| 第 5 週 | Determination of Forward and Futures Prices 2023-10-12(四) |
| 第 6 週 | Mechanics of Options Markets / Properties of Stock Options 2023-10-19(四) |
| 第 7 週 | Model of the Behavior of Stock Prices / Simulation of Stock Price 2023-10-26(四) |
| 第 8 週 | Ito's Lemma and Numerical Procedures (I) - Monte Carlo Simulation 2023-11-02(四) |
| 第 9 週 | Numerical Procedures (II) – Binomial Trees 2023-11-09(四) |
| 第 10 週 | Midterm Exam 2023-11-16(四) |
| 第 11 週 | The Black-Scholes-Merton Model 2023-11-23(四) |
| 第 12 週 | Options on Stock Indices and Currencies 2023-11-30(四) |
| 第 13 週 | Special Lecture by TAIFEX (TBD) 2023-12-07(四) |
| 第 14 週 | The Greek Letters 2023-12-14(四) |
| 第 15 週 | Volatility Smiles 2023-12-21(四) |
| 第 16 週 | Interest Rate Futures / Numerical Procedures (III) – Finite Difference Method 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) 期貨與選擇權概論,張傳章,雙葉書廊, ISBN:9789867433909 (Reference) 期貨與選擇權市場,黃泓人,華泰文化, ISBN:9789869660266 (Reference)
- 地點
- M419 (管理一館)
- 時間
- Wed 4:30-5:20pm Thr 4:30-5:20pm
- 聯絡方式
- 57076 hhlee@nycu.edu.tw