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 2025-09-04(四) |
| 第 2 週 | Mechanics of Futures Markets 2025-09-11(四) |
| 第 3 週 | Hedging Strategies Using Futures 2025-09-18(四) |
| 第 4 週 | Interest Rate 2025-09-25(四) |
| 第 5 週 | Determination of Forward and Futures Prices 2025-10-02(四) |
| 第 6 週 | Determination of Forward and Futures Prices / Mechanics of Options Markets 2025-10-09(四) |
| 第 7 週 | Properties of Stock Options 2025-10-16(四) |
| 第 8 週 | Trading Strategies Involving Options 2025-10-23(四) |
| 第 9 週 | Midterm Exam 2025-10-30(四) |
| 第 10 週 | Binomial Trees 2025-11-06(四) |
| 第 11 週 | Binomial Trees / Valuing Stock Options: The Black-Scholes Model 2025-11-13(四) |
| 第 12 週 | Valuing Stock Options: The Black-Scholes Model 2025-11-20(四) |
| 第 13 週 | Options on Stock Indices and Currencies 2025-11-27(四) |
| 第 14 週 | Interest Rate Futures 2025-12-04(四) |
| 第 15 週 | Duration and Convexity (BKM Chapter 11) 2025-12-11(四) |
| 第 16 週 | Final Exam 2025-12-18(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, 13th 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