|
週次 |
日期 |
單元主題 |
|
第1週 |
02/21 |
Syllabus
Preliminary exam on basic knowledge of futures and options might be given on the first meeting to evaluate students’ readiness for the class. All registered students must take the exam.
|
|
第2週 |
2/28 |
No class. |
|
第3週 |
3/07 |
Review of standard products and models; Chapters 13, 15, 16, 18 |
|
第4週 |
3/14 |
Binomial trees (review) and Monte Carlo simulation 19.1 to 19.7 |
|
第5週 |
3/21 |
Exotic equity products; Chapter 24 |
|
第6週 |
3/28 |
Exotic equity products; Chapter 24 |
|
第7週 |
4/04 |
Spring Break. No class. |
|
第8週 |
4/11 |
Weather, energy and insurance derivatives; Chapter 25 |
|
第9週 |
4/18 |
Midterm Exam or Value at risk; Chapter 20 |
|
第10週 |
4/25 |
(1)Estimating volatilities and correlations; Chapter 21. (2)Convertible bond and Contingent Capital Certificates |
|
第11週 |
5/02 |
Credit risk; Chapter 22 |
|
第12週 |
5/09 |
Credit derivatives; Chapter 23 |
|
第13週 |
5/16 |
Mortgages, Mortgage-Backed Securities and Mortgage Insurance |
|
第14週 |
5/23 |
Catastrophes and Risk Management of Financial Institutions |
|
第15週 |
5/30 |
Asian Options; VIX. Deposit Insurance and Loan Guarantee |
|
第16週 |
6/06 |
No class. |
|
第17週 |
6/13 |
Final Exam/Report |