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課程名稱 |
期貨與選擇權
Futures and Options |
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開課學期 |
104-1 |
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授課對象 |
社會科學院 經濟學系 |
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授課教師 |
王耀輝 |
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課號 |
ECON4036 |
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課程識別碼 |
303 49120 |
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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 |
社科401 |
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備註 |
本課程中文授課,使用英文教科書。
總人數上限：60人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1041ECON4036_ |
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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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課程概述 |
This course is aimed to provide an introduction to derivatives, in particular to futures and options, and their applications in risk management. Not only the products but also their markets will be covered with details. If time is allowed, swaps will also be covered. The sequence of topics will be options, futures and forward, and then swaps. |
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課程目標 |
After completing the course students should:
•Understand the general ideas and concepts of futures and options contracts,
•Be familiar with the market practices of futures and options markets,
•Be clear about the roles of derivatives in risk management, and
•Be able to implement various trading and hedging strategies with futures and options.
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課程要求 |
Midterm: 40%.
Final: 40%.
Project: 10%
Participation: 10%. |
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預期每週課後學習時數 |
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Office Hours |
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參考書目 |
NA |
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指定閱讀 |
Chance, D. and R. Brooks, 2012, An Introduction to Derivatives Markets and Risk Management, 9th edition, Thomson South-Western. |
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評量方式
(僅供參考) |
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週次 |
日期 |
單元主題 |
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第1週 |
9/15 |
Introduction |
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第2週 |
9/22 |
Structure of Options Markets |
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第3週 |
9/29 |
School closed due to typhoon Dujuan |
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第4週 |
10/06 |
Principles of Option Pricing |
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第5週 |
10/13 |
Option Pricing Models: The Binomial Model |
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第6週 |
10/20 |
Option Pricing Models: The Binomial Model |
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第7週 |
10/27 |
Option Pricing Models: The Black-Scholes-Merton Model |
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第8週 |
11/03 |
Option Pricing Models: The Black-Scholes-Merton Model |
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第9週 |
11/10 |
Mid-term |
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第10週 |
11/17 |
Option Pricing Models: The Black-Scholes-Merton Model |
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第11週 |
11/24 |
Basic Option Strategies |
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第12週 |
12/01 |
Advanced Option Strategies |
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第13週 |
12/08 |
Advanced Option Strategies
The Structure of Forward and Futures Markets |
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第14週 |
12/15 |
Principles of Pricing Forwards, Futures, and Options on Futures |
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第15週 |
12/22 |
Taiwan Futures and Options Markets |
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第16週 |
12/29 |
Exam |
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第17週 |
1/05 |
Principles of Pricing Forwards, Futures, and Options on Futures
Futures Arbitrage Strategies |
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