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課程名稱 |
金融數學二
Financial Mathematics (Ⅱ) |
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開課學期 |
100-2 |
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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 |
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/1002finmath2 |
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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 |
Linear Programming, One-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: Markov models, No-arbitrage Models: the HJM framework |
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課程目標 |
to use linear programming to prove the fundamental theorem of asset pricing in discrete-time markets and also to study incomplete markets; to price exotic options, both with closed-form formulas and computational methods; to study interest-rate models and the pricing of interest-rate options |
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課程要求 |
Financial Mathematics I or equivalent |
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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 |
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參考書目 |
Bjork, T.``Arbitrage Theory in Continuous Time'' 2nd Ed., Oxford University Press, 2004.
Cairns, A.J.G., ``Interest Rate Models'', Princeton University Press, 2004.
Etheridge, A, ``A Course in Financial Calculus'', Cambridge University Press, 2002.
Hull, J., ``Options, Futures and Other Derivatives'', 6th Ed., Prentice Hall, 2005.
Jarrow, R. A., ``Modelling Fixed Income Securities and Interest Rate Options'',
McGraw-Hill, 1996.
Kennedy, D., ``Stochastic Financial Models'', Chapman and Hall/CRC Press, 2010
Morris, P., ``Introduction to Game Theory'', Springer, 1994.
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. |
作業 |
20% |
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2. |
期中 |
40% |
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3. |
期末 |
40% |
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