期貨與選擇權

Futures and Options

學期

113-1

學分

3 學分

當期課號

537703

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: 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 / Mechanics of Futures Markets
第 2 週	Hedging Strategies Using Futures
第 3 週	Interest Rates
第 4 週	Determination of Forward and Futures Prices
第 5 週	Mechanics of Options Markets / Properties of Stock Options
第 6 週	Model of the Behavior of Stock Prices / Simulation of Stock Price
第 7 週	Ito's Lemma and Numerical Procedures (I) - Monte Carlo Simulation
第 8 週	Numerical Procedures (II) – Binomial Trees
第 9 週	Midterm Exam
第 10 週	The Black-Scholes-Merton Model
第 11 週	Options on Stock Indices and Currencies
第 12 週	The Greek Letters
第 13 週	Special Lecture by TAIFEX (TBD)
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 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、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)

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