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課程名稱 |
金融數學
Financial Mathematics |
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開課學期 |
100-1 |
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授課對象 |
理學院 數學研究所 |
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授課教師 |
彭栢堅 |
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課號 |
MATH5502 |
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課程識別碼 |
221 U2990 |
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班次 |
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學分 |
3 |
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全/半年 |
半年 |
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必/選修 |
選修 |
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上課時間 |
星期一3,4,@(10:20~) |
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上課地點 |
天數102 |
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備註 |
總人數上限：30人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1001finmath_1 |
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課程簡介影片 |
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核心能力關聯 |
核心能力與課程規劃關聯圖 |
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課程大綱
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為確保您我的權利,請尊重智慧財產權及不得非法影印
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課程概述 |
1. Arbitrage, Forward Contracts and Options
2. Arbitrage and Valuation of Contingent Claims in One-Period Markets
3. Filtrations, Stochastic Processes, Martingales in Discrete Time
4. Arbitrage and Valuation of Contingent Claims in Multi-Period Markets
5. A Preview of the Black-Scholes Model
6. Brownian Motion
7. Stochastic Integrals
8. Ito's Formula and Stochastic Differential Equations
9. The Black-Scholes model
10. Black-Scholes price and hedge for European path-independent options
11. Dividends
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課程目標 |
To teach students basic knowledge about financial derivatives and, in particular, the Black-Scholes theory for pricing options. |
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課程要求 |
Calculus, linear algebra, elementary probability (advanced calculus and real analysis helpful but not necessary) |
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預期每週課後學習時數 |
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Office Hours |
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指定閱讀 |
Lecture notes will be provided. |
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參考書目 |
Cox, J.C. and Rubinstein, M., ``Options Markets'', Prentice Hall, 1985.
Etheridge, A, ``A Course in Financial Calculus'', Cambridge University Press, 2002.
Hull, J., ``Options, Futures and Other Derivatives'', 6th Ed., Prentice Hall, 2005.
Pliska, S., ``Introduction to Mathematical Finance: Discrete Time Models'', Blackwell, 1997.
Roman, S., ``Introduction to the Mathematics of Finance: From Risk Management to Options Pricing'', Springer, 2004.
Shreve, S.E., ``Stochastic Calculus for Finance II: Continuous-Time Models'', Springer, 2004.
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評量方式
(僅供參考) |
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No. |
項目 |
百分比 |
說明 |
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1. |
Homework |
20% |
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2. |
Midterm |
40% |
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3. |
Final |
40% |
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