期貨與選擇權
Futures and Options
| 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
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
Class materials will be posted on the 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:(Subject to change due to Covid-19 pandemic): Midterm Exam (30%); Final Exam (35%); Homework(10%); Quiz (20%) Class Performance (5%)
| 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 | Interest Rate / Determination of Forward and Futures Prices |
| 第 6 週 | Determination of Forward and Futures Prices |
| 第 7 週 | Mechanics of Options Markets / Properties of Stock Options |
| 第 8 週 | Properties of Stock Options |
| 第 9 週 | Midterm Exam |
| 第 10 週 | Trading Strategies Involving Options |
| 第 11 週 | Binomial Trees |
| 第 12 週 | Binomial Trees / Valuing Stock Options: The Black-Scholes Model |
| 第 13 週 | Valuing Stock Options: The Black-Scholes Model |
| 第 14 週 | Options on Stock Indices and Currencies / Interest Rate Futures |
| 第 15 週 | Duration and Convexity (BKM Chapter 11) |
| 第 16 週 | Final Exam |
Options, Futures, and Other Derivatives by Hull, 9th Edition (Required) 期貨與選擇權概論,張傳章,雙葉書廊, ISBN:9789867433909 (Reference) Essentials of Investments by Bodie, Kane, and Marcus, 11th 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