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/Quiz (30%) Class Performance (5%)
Forwards and Futures
1. Market/ Strategies 2. Futures/Forward Prices 3. Interest Rates and Interest Rate Futures
- 講授：
- 21
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 / Mechanics of Futures Markets 2024-09-05(四) |
| 第 2 週 | Hedging Strategies Using Futures 2024-09-12(四) |
| 第 3 週 | Interest Rate 2024-09-19(四) |
| 第 4 週 | Interest Rate / Determination of Forward and Futures Prices 2024-09-26(四) |
| 第 5 週 | Determination of Forward and Futures Prices 2024-10-03(四) |
| 第 6 週 | The National Day (holiday) 2024-10-10(四) |
| 第 7 週 | Mechanics of Options Markets / Properties of Stock Options 2024-10-17(四) |
| 第 8 週 | Properties of Stock Options 2024-10-24(四) |
| 第 9 週 | Midterm Exam 2024-10-31(四) |
| 第 10 週 | Trading Strategies Involving Options 2024-11-07(四) |
| 第 11 週 | Binomial Trees 2024-11-14(四) |
| 第 12 週 | Binomial Trees / Valuing Stock Options: The Black-Scholes Model 2024-11-21(四) |
| 第 13 週 | Valuing Stock Options: The Black-Scholes Model / Options on Stock Indices and Currencies 2024-11-28(四) |
| 第 14 週 | Interest Rate Futures 2024-12-05(四) |
| 第 15 週 | Duration and Convexity (BKM Chapter 11) 2024-12-12(四) |
| 第 16 週 | Final Exam 2024-12-19(四) |
Options, Futures, and Other Derivatives by Hull, 11th Global Edition (Required) (Slight difference between the global edition and eBook) 期貨、選擇權與其他衍生性金融商品,林吉田/何姿嫻/鄭尚浩,雙葉書廊, ISBN:9789865492915 (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