|
課程名稱 |
期貨與選擇權
Futures and Options |
|
開課學期 |
110-1 |
|
授課對象 |
經濟學系 |
|
授課教師 |
洪志清 |
|
課號 |
ECON4036 |
|
課程識別碼 |
303E49120 |
|
班次 |
02 |
|
學分 |
3.0 |
|
全/半年 |
半年 |
|
必/選修 |
選修 |
|
上課時間 |
星期一7,8,9(14:20~17:20) |
|
上課地點 |
|
|
備註 |
本課程以英語授課。課程資訊依課號Fin4001(02班)為主。上課教室為「管一101」。英語授課，英文教科書。
限本系所學生(含輔系、雙修生)
總人數上限：25人 |
|
|
|
|
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 |
Course Description
The major goal of this course is to equip students with comprehensive understanding of financial derivatives. A derivative instrument is a financial contract whose payoff depends on or is derived from the value of one or a set of underlying assets. We will cover four categories of derivatives, including forwards (遠期合約), futures (期貨合約), swaps (交換合約), and options (選擇權). Students will learn how these derivatives are traded. We will also learn how these derivatives should be priced and trading strategies associated with them. |
|
課程目標 |
待補 |
|
課程要求 |
Recommended Prerequisite Courses
Investments (投資學), Financial Management (財務管理), Calculus I, II (微積分I, II)
Special Note: This course will be taught entirely in English. |
|
預期每週課後學習時數 |
|
|
Office Hours |
每週四 14:00~16:00 |
|
參考書目 |
1. A Course in Derivative Securities: Introduction to Theory and Computation, by Kerry Back. 2005 Edition (Springer Finance)
2. Stochastic Calculus for Finance I, by Steven Shreve. 2004 Edition (Springer Finance) |
|
指定閱讀 |
Options, Futures, and Other Derivatives, by John C. Hull. 9/E 2018 Global Edition (雙葉書廊) |
|
評量方式
(僅供參考) |
|
No. |
項目 |
百分比 |
說明 |
|
1. |
Assignments |
10% |
|
2. |
Midterm |
45% |
If you score higher in the Final, the Midterm would count for only 40% while the Final would count for 50%. |
3. |
Final |
45% |
If you score higher in the Final, the Midterm would count for only 40% while the Final would count for 50%. |
|
|
週次 |
日期 |
單元主題 |
|
第2週 |
9/27 |
1. Introduction
2. Mechanics of futures markets |
|
第3週 |
10/04 |
3. Hedging strategies using futures |
|
第4週 |
10/11 |
4. Interest rates |
|
第5週 |
10/18 |
5. Determination of forward and futures prices |
|
第6週 |
10/25 |
6. Interest rate futures |
|
第7週 |
11/01 |
7. Swaps |
|
第8週 |
11/08 |
10. Mechanics of options markets |
|
第9週 |
11/15 |
Midterm Exam (Chap 1-7) |
|
第10週 |
11/22 |
11. Properties of stock options |
|
第11週 |
11/29 |
12. Trading strategies involving options |
|
第12週 |
12/06 |
13. Binomial trees |
|
第13週 |
12/13 |
14. Wiener processes and Ito's lemma (Supplementary Material)
15. The Black-Scholes-Merton model |
|
第14週 |
12/20 |
17. Options on stock indices and currencies |
|
第15週 |
12/27 |
19. The Greek letters |
|
第16週 |
1/03 |
Final Exam (Chap 10-19) |
|
第17週 |
1/10 |
20. Volatility smile (Supplementary Material)
22. Value at risk (Supplementary Material) |
|
第18週 |
1/17 |
Recent research on derivatives (Supplementary Class) |
|