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
105-1 
授課對象
社會科學院  經濟學系  
授課教師
吳儀玲 
課號
ECON5050 
課程識別碼
323 U6930 
班次
 
學分
全/半年
半年 
必/選修
選修 
上課時間
星期五6,7,8(13:20~16:20) 
上課地點
社科502 
備註
限學士班三年級以上 或 限碩士班以上
總人數上限:100人 
Ceiba 課程網頁
http://ceiba.ntu.edu.tw/1051ECON5050_ 
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
 

課程目標
課程要求
Grade Structure
a. Midterm 35%
b. Final 35%
c. 3 Homework 20%
d. 8 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
 
指定閱讀
 
參考書目
 
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5週
  Lecture 5: Determination of Commodity Forward and Futures Prices 
第6週
  Lecture 6: An Introduction to Options 
第8週
  Lecture 7: Trading Strategies Involving Options 
第9週
  Lecture 8 Put-Call Parity and Other Option Relationships
 
第00週
  Table of the Standard Normal Cumulative Distribution Function 
第10週
  Lecture 9 Binomial Option Pricing 
第11週
  Lecture 10 The Black-Scholes Formula 
第12週
  Lecture 11 The Greek Letters
 
第13週
  Lecture 12 Volatility Smiles
 
第14週
  Lecture 13 Using Option Pricing Theory to Value Corporate Securities
 
第15週
  Lecture Note 14 Term Structure 
第16週
  Lecture 15 Swaps
 
第18週
  Practice final exam 
第19週
  Final exam solution 
第0-1週
  Syllabus 
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8-2週
  HW 1 
第8-3週
  HW1 SOLUTION 
第9-2週
  QUIZ 2 
第10-3週
  Practice Midterm Examination 
第10-4週
  Midterm Examination 
第11-2週
  HW2 
第11-3週
  HW2 SOLUTION 
第11-4週
  QUIZ 3 
第14-1週
  Quiz 4  
第16-1週
  HW3 
第16-2週
  HW3 solution