|
週次 |
日期 |
單元主題 |
|
Week 1 |
9/20 |
Introduction |
|
Week 2 |
9/27 |
State Preference Theory |
|
Week 3 |
10/04 |
Discrete-time and Continuous-time Models |
|
Week 4 |
10/11 |
Review of Stochastic Integrals and Differential Equations;
Portfolio Dynamics and Black-Scholes Model |
|
Week 5 |
10/18 |
Completeness and Hedging;
Parity Relations and Hedging;
Black-Scholes with Dividend |
|
Week 6 |
10/25 |
Incomplete Markets;
Martingale Pricing |
|
Week 7 |
11/01 |
Currency Derivatives;
Forward and Futures;
Several Underlying Assets |
|
Week 8 |
11/08 |
Mid-term break |
|
Week 9 |
11/15 |
Paper Presentation: Heston (1993), Bates (1996) |
|
Week 10 |
11/22 |
Paper presentation: Jarrow and Oldfield (1981)
Changing Numeraire |
|
Week 11 |
11/29 |
American Options;
Asian Options; |
|
Week 12 |
12/06 |
Paper presentation:
Barone-Adesi and Whaley (1987)
Tunbull and Wakeman (1991)
Goldman et al. (1979) |
|
Week 13 |
12/13 |
Break |
|
Week 14 |
12/20 |
GARCH Models & Volatility Forecasting |
|
Week 15 |
12/27 |
Duan (1995); Duan et al. (2005); Amin et al. (2004) |
|
Week 16 |
1/03 |
Amin et al. (2004), Bakshi et al. (1997), Roll et al. (2007) |
|
Week 17 |
1/10 |
Huang and Wu (2004); Eberhart (2005); Park (2002); Poteshman (2001) |