期貨與選擇權
Futures and Options
學期
108-1
學分
3
學分
當期課號
5570
永久課號
IOF5014
開課單位
資訊管理與財務金融系財務金融碩博士班
授課教師
郭家豪
校區
光復
類別
必修
上課時間表
| 節 | 週四 |
|---|---|
2 09:00–09:50 | 期貨與選擇權 M101 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
概述
The major goal of this course is to provide students with complete understanding of many financial markets and products. Topics such as forward and futures, swaps, and options will be fully covered. In addition, the basic pricing methods of these innovative products will be emphasized in this course. Finally, even to a MBA student, the knowledge mentioned in this course is sure to be helpful for his (or her) future career.
先修科目
無
評分方式
1學期作業 課堂指定 2.考試狀況 二次學期考試或報告 3.評量方法 課堂參與 (20%)、作業練習 (20%)、第一次學期考試(30%)、第二次學期考試(30%)
課程大綱
- Futures, Forward, and Swaps
- Options
週次計畫
| 週次 | 主題 |
|---|---|
| 第 1 週 | Introduction |
| 第 2 週 | Mechanics of Futures Markets |
| 第 3 週 | Hedging Strategies Using Futures |
| 第 4 週 | Interest Rate |
| 第 5 週 | Determination of Forward and Futures Prices |
| 第 6 週 | Interest Rate Futures |
| 第 7 週 | Duration and Convexity (Optional) |
| 第 8 週 | Swaps |
| 第 9 週 | Midterm Exam |
| 第 10 週 | Mechanics of Options Markets |
| 第 11 週 | Properties of Stock Options |
| 第 12 週 | Properties of Stock Options / Trading Strategies Involving Options |
| 第 13 週 | Trading Strategies Involving Options |
| 第 14 週 | Binomial Trees |
| 第 15 週 | Valuing Stock Options: The Black-Scholes Model |
| 第 16 週 | Options on Stock Indices and Currencies / Futures Options |
| 第 17 週 | The Greek letters / Volatility Smiles (Optional) |
| 第 18 週 | Final Exam |
教科書
Options, Futures, and Other Derivatives by Hull, 9th Edition (Required)
Office Hours
- 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 03-5712121#57078