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課程名稱 |
金融數學二
Financial Mathematics(Ⅱ) |
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開課學期 |
99-2 |
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授課對象 |
理學院 數學系 |
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授課教師 |
彭栢堅 |
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課號 |
MATH5506 |
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課程識別碼 |
221 U3920 |
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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 |
星期二2,3,4(9:10~12:10) |
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上課地點 |
天數204 |
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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/992financial_math_2 |
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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 |
Contents (tentative)
Linear Programming; One-Period Markets; Arbitrage and Valuation of Contingent Claims in Multi-Period Markets; Exotic Options: Lookbacks, Barriers, Asians;
Computational Methods (lattices, finite differences); Interest Rates, Bonds and Interest Rate Derivatives; One-Factor Binomial Interest Rate Models; One-Factor Continuous-Time Interest Rate Models; No-arbitrage Models; More on Interest-Rate Models; Credit Risk
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課程目標 |
To give students a deeper knowledge of financial markets and the theory
of and computational methods for option pricing, with special reference to
exotic options and interest rate derivatives |
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課程要求 |
Sufficient background in financial mathematics. |
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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 |
No textbook. Lecture notes will be posted on ceiba. |
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參考書目 |
1. Bjork, T., ``Arbitrage Theory in Continuous Time'' 2nd Ed., Oxford University Press, 2004.
2. Cairns, A.J.G., ``Interest Rate Models'', Princeton University Press, 2004.
3. Etheridge, A, ``A Course in Financial Calculus'', Cambridge University Press, 2002.
4. Hull,J., ``Options, Futures and Other Derivatives'', 6th Ed., Prentice Hall, 2005.
5. Jarrow, R.A., ``Modelling Fixed Income Securities and Interest Rate Options'',
McGraw-Hill, 1996.
6. Kennedy, D., ``Stochastic Financial Models'', Chapman and Hall/CRC Press, 2010
7. Morris, P., ``Introduction to Game Theory'', Springer, 1994.
8. Pliska, S., ``Introduction to Mathematical Finance: Discrete Time Models'',
Blackwell, 1997.
9. Roman, S., ``Introduction to the Mathematics of Finance: From Risk
Management to Options Pricing'', Springer, 2004.
10. 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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