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/1012finmath2 
課程簡介影片
 
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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





 

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.
 
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