課程資訊
課程名稱
金融數學二
Financial Mathematics (Ⅱ) 
開課學期
100-2 
授課對象
理學院  數學研究所  
授課教師
彭栢堅 
課號
MATH5506 
課程識別碼
221 U3920 
班次
 
學分
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/1002finmath2 
課程簡介影片
 
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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 

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  
課程要求
Financial Mathematics I or equivalent 
預期每週課後學習時數
 
Office Hours
 
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.
 
指定閱讀
 
評量方式
(僅供參考)
 
No.
項目
百分比
說明
1. 
作業 
20% 
 
2. 
期中 
40% 
 
3. 
期末 
40% 
 
 
課程進度
週次
日期
單元主題