課程資訊
課程名稱
期貨與選擇權市場
Futures and Options Markets 
開課學期
102-2 
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
703 43510 
班次
 
學分
全/半年
半年 
必/選修
選修 
上課時間
星期四2,3,4(9:10~12:10) 
上課地點
管二206 
備註
先修科目:投資學或財務管理。
限學士班三年級以上
總人數上限:100人 
Ceiba 課程網頁
http://ceiba.ntu.edu.tw/1022Fin3018_ 
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課程概述

Course Outline

1. Description
This course is aimed to provide an introduction to derivatives, in particular to futures and options, and their applications in risk management. 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.

2. Learning outcomes
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,
•Be clear about the roles of derivatives in risk management, and
•Be able to implement various trading and hedging strategies with futures and options.

3. Grading
Midterm: 40%. Final: 50%. Participation: 10%.



4. Textbook
Chance, D. and R. Brooks, 2012, An Introduction to Derivatives Markets and Risk Management, 9th edition, Thomson South-Western. (指南)

5. Syllabus
1. Introduction

PART I: Options
2. Structure of Options Markets
3. Principles of Option Pricing
4. Option Pricing Models: The Binomial Model
5. Option Pricing Models: The Black-Scholes-Merton Model
6. Basic Option Strategies
7. Advanced Option Strategies

PART II: Forwards and Futures
8. The Structure of Forward and Futures Markets
9. Principles of Pricing Forwards, Futures, and Options on Futures
10. Futures Arbitrage Strategies
11. Forward and Futures Hedging, Spread, and Target Strategies

PART III: Advanced Topics
12. Swaps
13. Financial Risk Management Techniques and Applications
14. Managing Risk in an Organization
 

課程目標
待補 
課程要求
待補 
預期每週課後學習時數
 
Office Hours
 
參考書目
待補 
指定閱讀
待補 
評量方式
(僅供參考)
   
課程進度
週次
日期
單元主題
第1週
2/20  Introduction 
第2週
2/27  Introduction to Derivatives Markets  
第3週
3/06  Structure of Options Markets 
第4週
3/13  Principles of Option Pricing 
第5週
3/20  Option Pricing Models: The Binomial Model 
第6週
3/27  Option Pricing Models: The Binomial Model 
第7週
4/03  溫書假 
第8週
4/10  Option Pricing Models: The Black-Scholes-Merton Model 
第9週
4/17  期中考 
第10週
4/24  Basic Option Strategies 
第11週
5/01  Basic Option Strategies 
第12週
5/08  Advanced Option Strategies 
第13週
5/15  Advanced Option Strategies  
第14週
5/22  Make-up Exam 
第15週
5/29  The Structure of Futures Market & Principles of Pricing Forwards, Futures, and Options on Futures 
第16週
6/05  Principles of Pricing Forwards, Futures, and Options on Futures 
第17週
6/12  Futures Arbitrage Strategies