課程名稱 |
期貨與選擇權市場 FUTURES AND OPTIONS MARKETS |
開課學期 |
98-1 |
授課對象 |
管理學院 財務金融學系 |
授課教師 |
王耀輝 |
課號 |
Fin3018 |
課程識別碼 |
703E43510 |
班次 |
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學分 |
3 |
全/半年 |
半年 |
必/選修 |
選修 |
上課時間 |
星期二6,7,8(13:20~16:20) |
上課地點 |
管二304 |
備註 |
本課程以英語授課。財金系學生優先,管院學生次之。 限本系所學生(含輔系、雙修生) 總人數上限:50人 |
Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/981futuresoptions |
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 |
課程大綱
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為確保您我的權利,請尊重智慧財產權及不得非法影印
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課程概述 |
This course is aimed to provide an introduction to derivatives markets, in particular to futures and options markets. 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. |
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, and
•Be able to implement various trading and hedging strategies with futures and options.
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課程要求 |
Coursework: 20%. Midterm: 30%. Final: 40%. Participation and overall performance: 10%. |
預期每週課後學習時數 |
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Office Hours |
每週二 10:00~12:00 |
指定閱讀 |
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參考書目 |
Chance, D. and R. Brooks, 2006, An Introduction to Derivatives Markets and
Risk Management, 7th edition, Thomson South-Western. |
評量方式 (僅供參考) |
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週次 |
日期 |
單元主題 |
Week 1 |
9/15 |
Introduction |
Week 2 |
9/22 |
Introduction to Futures and Options Markets |
Week 3 |
9/29 |
Structure of Option Markets |
Week 4 |
10/6 |
Principles of Option Pricing |
Week 5 |
10/13 |
Principles of Options Pricing |
Week 6 |
10/20 |
The Binomial Model |
Week 7 |
10/27 |
The Binomial Model |
Week 8 |
11/3 |
Black-Scholes Model |
Week 9 |
11/10 |
Mid-term |
Week 10 |
11/17 |
Black-Scholes Model |
Week 11 |
11/24 |
Black-Scholes Model & Basic Option Strategies |
Week 12 |
12/1 |
Advanced Option Strategies |
Week 13 |
12/8 |
Advanced Option Strategies & The Structure of Forward and Futures Markets |
Week 14 |
12/15 |
Principles of Pricing Forwards, Futures and Options on Futures |
Week 15 |
12/22 |
Principles of Pricing Forwards, Futures and Options on Futures |
Week 16 |
12/29 |
Futures Arbitrage Strategies |
Week 17 |
1/5 |
Review |
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