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課程名稱 |
期貨與選擇權市場
FUTURES AND OPTIONS MARKETS |
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開課學期 |
99-1 |
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授課對象 |
管理學院 財務金融學系 |
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授課教師 |
俞明德 |
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課號 |
Fin3018 |
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課程識別碼 |
703 43510 |
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班次 |
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學分 |
3 |
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全/半年 |
半年 |
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必/選修 |
選修 |
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上課時間 |
星期二2,3,4(9:10~12:10) |
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上課地點 |
管二302 |
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備註 |
本課程中文授課,使用英文教科書。本課程中文授課,使用英文教科書。先修科目：會計、經濟、微積分、統計。
限學士班三年級以上
總人數上限：40人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/991fin3018 |
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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 |
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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 introduces the fundamentals of futures and options markets. |
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課程目標 |
01. Introduction
02. Mechanics of Futures and Forward Markets
03. Hedging Strategies Using Futures
04. Interest Rates
05. Determination of Forward and Futures Prices
06. Interest Rate Futures
07. Swaps
08. Securitization and the Credit Crisis of 2007
09. Mechanics of Options Markets
10. Properties of Stock Options
11. Trading Strategies Involving Options
12. Introduction to Binomial Trees
13. Valuing Stock Options: The Black-Scholes-Merton Model
14. Employee Stock Options
15. Options on Stock Indices and Currencies
16. Futures Options
17. The Greek Letters
18. Binomial Trees in Practice
19. Volatility Smiles
20. Value at Risk
21. Interest-Rate Options
22. Exotic Options and Other Non-Standard Instruments
23. Credit Derivatives
24. Insurance, Weather, Energy, and Credit Derivatives
25. Derivatives Disasters and What We Can Learn From Them |
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課程要求 |
Exercise
1. Homework will be assigned at the end of class.
2. Students must make a presentation on the application and market condition of a derivative product or assigned topics. |
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預期每週課後學習時數 |
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Office Hours |
另約時間 備註： Tuesday 12:00 - 14:00 |
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指定閱讀 |
Fundamentals of Futures and Options Markets (7th Edition): by J. Hull, Prentice Hall, 2010. |
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參考書目 |
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評量方式
(僅供參考) |
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No. |
項目 |
百分比 |
說明 |
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1. |
Final Exam |
30% |
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2. |
Participation |
5% |
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3. |
Presentation |
15% |
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4. |
Two Midterm Exam |
40% |
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5. |
Homework |
10% |
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週次 |
日期 |
單元主題 |
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第1週 |
9/14 |
Syllabus, Ch1.Introduction |
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第2週 |
9/21 |
Ch2.Mechanics of Futures and Forward Markets |
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第3週 |
9/28 |
Ch3.Hedging Strategies Using Futures, |
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第4週 |
10/05 |
Ch4.Interest Rates (Presentation 1), Ch5.Determination of Forward and Futures Prices |
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第5週 |
10/12 |
First Exam (Ch1,2,3,4,5) (9:30am-11:30am) |
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第6週 |
10/19 |
Ch7.Swaps (Presentation 2) |
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第7週 |
10/26 |
Ch6. Interest Rate Futures, Ch8. Securitization and the Credit Crisis of 2007(Presentation 3) |
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第8週 |
11/02 |
Ch09. Mechanics of Options Markets (Presentation4), Ch10.Properties of Stock Options |
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第9週 |
11/09 |
Ch11 Trading Strategies Involving Options (Presentation5), Ch12.Introduction to Binomial Trees |
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第10週 |
11/16 |
Ch13 Valuing Stock Options_The Black-Scholes-Merton Model |
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第11週 |
11/23 |
Second Exam |
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第12週 |
11/30 |
Ch13.(Presentation9), Ch15 Options on Stock Indices and Currencies |
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第13週 |
12/07 |
Ch16.Futures Options (Presentation7), Ch17.The Greek Letters, Ch18.Binomial Trees in Practice |
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第14週 |
12/14 |
Ch14. Derivatives Markets in Developing Countries, Ch15. Options on Stock Indices and Currencies |
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第15週 |
12/21 |
Ch16. Futures Options |
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第16週 |
12/28 |
Ch17. The Greek Letters |
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第17週 |
1/04 |
複習 |
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第18週 |
01/11 |
Final Exam- 考試時間：9:10 - 11:10 am |
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