課程資訊
 課程名稱 金融數學二Financial Mathematics (Ⅱ) 開課學期 101-2 授課對象 理學院  數學系 授課教師 彭栢堅 課號 MATH5506 課程識別碼 221 U3920 班次 學分 3 全/半年 半年 必/選修 選修 上課時間 星期一3,4,@(10:20~) 上課地點 天數102 備註 總人數上限：30人 Ceiba 課程網頁 http://ceiba.ntu.edu.tw/1012finmath2 課程簡介影片 核心能力關聯 核心能力與課程規劃關聯圖 課程大綱 為確保您我的權利,請尊重智慧財產權及不得非法影印 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 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 課程要求 Sufficient background in financial mathematics. 預期每週課後學習時數 Office Hours 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. 指定閱讀 評量方式(僅供參考)
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