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 or Financial Management (Undergraduate level), Probability and Statistics, Basic Programming Skills
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 (25%); Final Exam (30%); Homework (40%); Class Performance (5%)
- Forwards, Futures, and Swaps
- Options
| 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 | Numerical Procedures (II) – Binomial Trees |
| 第 10 週 | Midterm Exam |
| 第 11 週 | The Black-Scholes-Merton Model |
| 第 12 週 | Options on Stock Indices and Currencies |
| 第 13 週 | Special Lecture by TAIFEX (TBD) |
| 第 14 週 | The Greek Letters |
| 第 15 週 | Volatility Smiles |
| 第 16 週 | Interest Rate Futures / Numerical Procedures (III) – Finite Difference Method |
| 第 17 週 | Final Exam |
Options, Futures, and Other Derivatives by Hull, 11th Global Edition (Required) (Slight difference between the global edition and eBook) 期貨與選擇權概論,張傳章,雙葉書廊, ISBN:9789867433909 (Reference) 期貨與選擇權市場,黃泓人,華泰文化, ISBN:9789869660266 (Reference)
- 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