期貨與選擇權
Futures and Options
學期
111-1
學分
3
學分
當期課號
537701
永久課號
MGIF30041
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
李漢星
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
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.
先修科目
Investments or Financial Management (Undergraduate level), Probability and Statistics, Basic Programming Skills
教學方式
Class materials will be posted on the new e3 (e3.nycu.edu.tw).
評分方式
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 (25%); Final Exam (30%); Homework (40%); Class Performance (5%)
課程大綱
- Forwards, Futures, 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 Rates |
| 第 5 週 | Determination of Forward and Futures Prices |
| 第 6 週 | Mechanics of Options Markets / Properties of Stock Options |
| 第 7 週 | Model of the Behavior of Stock Prices / Simulation of Stock Price |
| 第 8 週 | Ito's Lemma and Numerical Procedures (I) - Monte Carlo Simulation |
| 第 9 週 | Midterm Exam |
| 第 10 週 | Numerical Procedures (II) – Binomial Trees |
| 第 11 週 | The Black-Scholes-Merton Model |
| 第 12 週 | The Greek Letters |
| 第 13 週 | Numerical Procedures (III) – Finite Difference Method |
| 第 14 週 | Volatility Smiles |
| 第 15 週 | Interest Rate Futures |
| 第 16 週 | Final Exam |
教科書
Options, Futures, and Other Derivatives by John Hull, Prentice Hall, 11th Edition
Office Hours
- 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