課程資訊
課程名稱
金融市場與衍生性商品
Financial Market and Derivatives 
開課學期
105-2 
授課對象
社會科學院  經濟學研究所  
授課教師
吳儀玲 
課號
ECON7928 
課程識別碼
323 M7630 
班次
 
學分
2.0 
全/半年
半年 
必/選修
選修 
上課時間
星期五A,B(18:25~20:10) 
上課地點
社科研605 
備註
限碩士在職專班生
總人數上限:30人 
Ceiba 課程網頁
http://ceiba.ntu.edu.tw/1052ECON7928_ 
課程簡介影片
 
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課程概述

The course provides a broad overview of the fields of derivatives and financial market. It is
divided in three parts. Part I is devoted to the basic knowledge of bonds and stocks and valuation
of forwards and futures.
After that, in Part II, we turn to the problem of option valuation. We first deal with simple
no arbitrage restrictions that can be imposed on the price of European and American call and
put options. These are the slope and convexity restrictions, useful bounds that are model-free.
We then cover in detail the Binomial Option pricing Model. This part of the course is
fundamental in everything that follows. It contains the two main concepts in what concerns
derivatives valuation: the concept of dynamic replication and the principle of risk neutral
valuation. Once the Binomial Option Pricing Model is well understood the transition to the
Black-Scholes Model is rather straightforward. Finally, we dwell in an important empirical flaw
of the Black-Scholes Model, the volatility smile. We study the consequences of this important
empirical regularity for option valuation. We then cover one important applications of option
valuation: the valuation of corporate securities.
Part III, the last part of the course, is devoted to fixed income derivatives valuation. We
study the valuation of swap contracts, the futures on interest rate and then options on interest
rate. 

課程目標
D. GRADING
1. Weekly Problem sets
a. The problem sets from Hull’s textbook and other sources will be assigned on a
weekly basis during the semester. The main purpose of the problem sets is to
increase your understanding of the material and to help you prepare for the
exams.

b. The problem sets will not be collected and graded. The problem sets and
solutions will be posted on the blackboard.

2. Three sets of Homework
a. You are permitted to discuss homework sets with other students.
b. You are to ON-LINE submit your own solutions --which may represent a
synthesis of personal analysis and discussions with others.
c. Homework sets are due at the beginning of class (Pm 1:10) as indicated in the
schedule and no late homework sets are accepted and will be given a grade of
0%.
d. Solutions will be posted on the CEIBA after the due date.

3. Quizzes
a. The 5-minute quizzes are closed book, but you are permitted to bring a
calculator.
b. There will in general not be any makeups for the quizzes.
c. There will be around 2 quizzes. If you miss only one quiz, it will count as your
lowest score and be dropped.
d. Solutions will be posted on the CEIBA and will be discussed on the next class.

4. Midterm and Final Exam
a. A typical exam format would include a mixture of quantitative and qualitative
problems and questions covering lecture notes, text chapters and assignments.

b. The examination is closed book, but you are permitted to bring a calculator and
a "crib sheet" with notes and/or formulae. You may use two sides of an 81/2x11
page.

c. Exams are scheduled according to school so that you can plan around these
dates. Please do not ask to be excused from exams as makeup is rarely given.

d. If you want to submit a regrade request, please do it within one week after the
graded exam is handed back to do so. You have to hand back (1) your exam
and (2) a brief memo detailing your concerns. The exam will be regraded in
full.


 
課程要求
Grade Structure
a. Midterm 35%
b. Final 35%
c. 3 Homework 20%
d. 2 Quizzes 10%
e. As you can see from the grade distribution, you have to work hard
THROUGHOUT the course in order to receive a good grade 
預期每週課後學習時數
 
Office Hours
 
參考書目
Textbook: Derivatives Markets, Pearson, 2013, by Robert L McDonald,
Third Edition, ISBN 0-321-84782-2 
指定閱讀
Textbook: Derivatives Markets, Pearson, 2013, by Robert L McDonald,
Third Edition, ISBN 0-321-84782-2 
評量方式
(僅供參考)
   
課程進度
週次
日期
單元主題
第0週
  Test bank solutions 
第3週
  Lecture Note 3: Risk Management with Forward and Futures 
第4週
  Lecture Note 4: Determination of Financial Forward and Futures Prices 
第6週
  Lecture 5: An Introduction to Options 
第8週
  Lecture 6: Trading Strategies Involving Options 
第9週
  Lecture 7 Put-Call Parity and Other Option Relationships  
第00週
  Table of the Standard Normal Cumulative Distribution Function 
第10週
  Lecture 8 Binomial Option Pricing 
第11週
  Lecture 9 The Black-Scholes Formula 
第12週
  Lecture 10 The Greek Letters  
第13週
  Lecture 11 Volatility Smiles 
第14週
  Lecture 12 Using Option Pricing Theory to Value Corporate Securities  
第16週
  Lecture 13 Swaps  
第17週
  在職專班2017 Final exam must know materials 
第18週
  QUIZ TWO and ITS SOLUTION 
第19週
  Final exam solution 
第0-1週
  Syllabus 
第0-1週
  金融衍生性商品市場的書籍的pdf版本 
第0-2週
  John Hull書籍的pdf版本 
第0-2週
  Derivatives Markets 3rd Edition_pdf 
第1-1週
  Lecture Note 1: Introduction to Derivatives Securities 
第1-2週
  Lecture Note 2: Stock Market and Mutual Funds, Hedge Funds, and Pension Funds 
第5-2週
  QUIZ 1 
第9-2週
  QUIZ 2 
第10-4週
  Midterm Examination 
第10-5週
  Midterm exam solution