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課程名稱 |
固定收益證券與其衍生商品
Fixed Income Securities and Derivatives |
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開課學期 |
102-1 |
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授課對象 |
管理學院 財務金融學研究所 |
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授課教師 |
李賢源 |
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課號 |
Fin7025 |
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課程識別碼 |
723 M4210 |
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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 |
星期二5,6,7(12:20~15:10) |
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上課地點 |
管二103 |
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備註 |
本課程中文授課,使用英文教科書。
總人數上限：60人 |
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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 |
Bill Market and Bond Market
Fall, 2007
Professor Room 1012
Shyan Yuan Lee (02)23621845
This course is devoted to a study of fixed income securities and derivatives in Taiwan, U.S. and the other. It is concerned with the markets (including the underground markets), institutions, laws, regulations, and techniques through which bonds and other securities are traded, interest rates determined, and financial services produced and delivered. I design this course with the three purposes: (1) to arm you with analytical tools to help you understand why the financial marketplace behaves as it does and how we should make financial decisions; (2) to describe how today’s financial markets operate and where they appear to be headed; (3) to understand what differences between our markets and U. S. markets are and how you adjust your financial decisions given different markets in two countries, so that you can more easily “speak the language” of the markets and find your way around in them.
Fixed income securities and derivatives are a fascinating field of study. What happens in these markets affects the quality of our lives every day in many different ways. Moreover, these financial markets are dynamic institutions continually ”putting on a new face” in the form of new services, new instruments, and new methods. Thus, there are abundant materials deserved to be studied. Due to the limited time, however, this course provides only the fundamental introduction to these vast, ever-changing markets. To those want to build their career upon this area, they should strengthen their knowledge in this area through continued reading and personal involvement, e.g, writing a thesis.
The course is intended for advanced MBA/EMBA students, particularly those who are specializing in the field of finance, business administration, international business, or economics. This course will give students not only the analytical tools but also the language of the financial markets because in financia |
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課程目標 |
Bill Market and Bond Market
Fall, 2007
Professor Room 1012
Shyan Yuan Lee (02)23621845
This course is devoted to a study of fixed income securities and derivatives in Taiwan, U.S. and the other. It is concerned with the markets (including the underground markets), institutions, laws, regulations, and techniques through which bonds and other securities are traded, interest rates determined, and financial services produced and delivered. I design this course with the three purposes: (1) to arm you with analytical tools to help you understand why the financial marketplace behaves as it does and how we should make financial decisions; (2) to describe how today’s financial markets operate and where they appear to be headed; (3) to understand what differences between our markets and U. S. markets are and how you adjust your financial decisions given different markets in two countries, so that you can more easily “speak the language” of the markets and find your way around in them.
Fixed income securities and derivatives are a fascinating field of study. What happens in these markets affects the quality of our lives every day in many different ways. Moreover, these financial markets are dynamic institutions continually ”putting on a new face” in the form of new services, new instruments, and new methods. Thus, there are abundant materials deserved to be studied. Due to the limited time, however, this course provides only the fundamental introduction to these vast, ever-changing markets. To those want to build their career upon this area, they should strengthen their knowledge in this area through continued reading and personal involvement, e.g, writing a thesis.
The course is intended for advanced MBA/EMBA students, particularly those who are specializing in the field of finance, business administration, international business, or economics. This course will give students not only the analytical tools but also the language of the financial markets because in financial markets people develop special terms or give common terms special meanings in order to being able to communicate precisely and rapidly with each other. On the analytical tools, the math. used in this course has been kept to a minimum so that students need not worry whether their quantitative trainings are enough or not.
The course meets once a week. Analytical abilities are grounded on the conceptual foundations developed in the lectures on each topic and via exercises. So, there will probably be homework assignments every week. The news appearing on Economic Daily News and Commercial Times are probably adapted in homework assignments so that we can relate this course to the current issues on our economy. I encourage students to bring related issues into class, therefore grades will be based on class discussion (15%), homework assignments (15%), and a final examination (70%). The final examination is optional to students who want to explore some interesting research topics. Namely, these students can hand in term papers instead of taking the final examination. The topic of your term paper can be chosen by yourself but it should be approved by me. The term paper cannot exceed 10 single-side and double-spaced pages. The grade of your term paper depends upon how interesting the topic is and how much valuable information you bring in.
There is no a definite textbook. However, I shall more or less follow the following books : (1) Suresh Sundaresan, Fixed Income Markets and Their Derivatives, 2nd edition, 2002, South-Western, a division of Thomson Learning, Cincinnati, Ohio. (2) Frank J. Fabozzi, Bond Markets, Analysis and Strategies, 4th edition, 2000, Prentice-Hall International, Inc., Englewood Cliffs, New Jersey 07632. All books are available in Hsin-Lou Publishing Co. These books are good ones and deserve to be held. They are certainly not inexpensive so that whether buy or not is up to you.
The following topics will be covered. The reading list is not complete, and will be added to. It is not my intention to discuss every topic on the list because of the limited time. Thus, how far we can go depends on how much time we together want to spend. Particularly for EMBA, topics in RED will be focused on.
Topic 1 : Foundations for Interest Rates
The real rate of interest with no uncertainty
Production and exchange : The effect of productivity
Topic 2 : Inflation and Returns
Real versus monetary rates of interest
The Fisher equation
Short-term interest rates as predictors of inflation
What does the term structure of interest rates tell us about future inflation ?
Topic 3 : The Term Structure of Interest Rates
The expectations hypothesis and the other hypotheses of the term structure
On detecting the information in the term structure of interest rates
Uncertainty and term premiums
Term structure models of interest rates
Fitting the yield curve:
(i) the case of sufficient bonds: the bootstrapping approach;
(ii) the case of insufficient bonds: the duration adjustment method; the zero-coupon
adjustment method; the polynomial fitting;
the polynomial spline approach: McCulloch[1975];
the exponential spline approach: Vasicek & Fong[1982];
the generalized nonlinear approach: Chambers, Carleton, and Waldman [1984];
Nelson & Siegel [1987]; Hunt [1995];
the maximum smoothness approach: Adams & van Deventer [1994];
the non-parametric method with maximum smoothness: Frishling and Yamamura [1996];
Term structure models:
(i) general equilibrium models
the Ornstein-Uhlenbeck process: Vasicek [1977];
the square-root process: Cox, Ross, Ingersoll [1985]; Longstaff & Schwatz [1990];
one-factor models vs multi-factor models;
(ii)no arbitrage models
the Ornstein-Uhlenbeck process: Hull & White [1990, 1993, 1994, 1996];
the squared-root process: Li, Ritchken, & Sankarasubramarnian [1995]; Ritchken, & Sankarasubramarnian [1995]; Nelson &Ramaswamy [1989];
the lognormal process: Black, Derman, & Toy [1990]; Black & Karasinski [1991];
the discount bond price process: Ho & Lee [1986];
the forward rate process: Heath, Jarrow, & Morton [1992]; Brace, Gatarek, & Musiela [1997]; Ritchken & Chuang [2000];
the forward rate process with jump: Glassman and Kou [2001]
Topic 4 : Risk and Rewards on Treasury Securities
Invoice prices, cash folws, and yields on Treasury bonds
Measuring yield, Interest on interest
Comparing yields on zeros to yields on Treasury bonds
Duration: An introduction to the concept and its uses
The effect of interest payments on the duration of a bond
Analyzing the structure of Treasury yields: duration, coupon, and liquidity effects
Rate of return and futurity of cash flow from a bond: are yield and duration good measures?
Immunization of bond portfolios
Bond convexity and its implications for immunization
Butterfly trades in the Treasury bond market: a critical assessment of yield, convexity, and risk
Dedicated bond portfolios: construction, rebalancing, and swapping
Valuation, Effective Duration, and Effective Convexity of Bonds with Embedded Options
Pitfalls on Measuring Effective Duration and Effective Convexity: Lattice Approach Problem, Option Adjusted Spread Problem, and so on.
Topic 5 : The Specific Markets
The Repo (Repurchase Agreements) Markets
Definiton and some jargon
Credit risk and margin
Growth of the market
The overnight of Repo rate
Open Repo, Term Repo, The yield curve in Repo
Brokering of Repo
The forward market in Repo
Repos in Central Bank open market operations
OS/RS and OP/RP margin tradings
Government Securities
Bills, notes, and bonds
Book-entry securities
Primary dealers
Auction procedures
The brokers
Curve traders
The Zoo
STRIPs
When-issued Treasury bond trading
Corporate Debt Securities
The default-risk structure of interest rates
Credit Ratings and Risk Premiums, Cyclical behavior of risk premiums
The market segmentation effect
Taiwan corporate bond markets: Bank-endorsed and Bank-not-endorsed bonds
The Underground Debt Markets in Taiwan
Types of Taiwan underground debt markets
Huei: Pricing a Chinese Saving-Borrowing Pool
Topic 6: The Convertible Bond Market
The convertible bond market in Taiwan
Valuation of convertible bonds including Euro-convertible bonds and warrants
Hedging of convertible bonds including Euro-convertible bonds
Arbitrage in the convertible bond market in Taiwan
Asset swaps related to convertible bonds
Topic 7: The Derivative Markets Related Treasury Bonds: Interest Rate Swaps
Some history
Interest rate swap market vs Treasury bond market vs Eurodollar futures market
The brokers, Dealer books in swaps
Development of Taiwan’s interest rate swap market
Money market swaps
IRS valuation issues
Risk management of IRS
Differential swaps: valuation and hedging
Swaptions
Cross currency swap
Topic 8 : The Derivative Markets Related Treasury Bonds: Futures Contracts
Development of Taiwan’s interest rate futures markets
Treasury bill futures
Treasury Bond and Note Futures
The contract, Delivery provisions, The invoice price, Basis, Cost-of-carry Relation
Hedging with interest rate futures contracts
Topic 9: Derivative Markets Related Treasury Bonds: Option-Type Instruments
Option valuation, Basic uses of options
The key risk sensitivities of an option
Volatility
Other options strategies
Trades using synthetic securities
Statement of the Black-Scholes model for pricing an option on a bond
Shortcomings of the Black-Scholes Model
Valuation of Caps, Floors, and Collars: Black model
How to calibrate the parameters of term structure models via Swaptions, Caps, Floors, and Collars
Topics 10: Some New Developments on Financial Engineering Related to Fixed Income Securities and Derivatives in Taiwan
Principal Guaranteed Notes/Funds
High Yield Notes
Index-Linked Term Life Insurance Contracts
Floating Rate Guaranteed Term Life Insurance Contracts
Participation Rate
Topics 11: Some New Developments on Structure Finance in Taiwan
Structured Note Issues on Taiwan Bond Funds
The Case of Structured Notes Stripping
The Case of Floating Rate Exchange Notes
The Case of Asset Backed Commercial Paper
Cases of Collateralized Bond Obligations
Cases of Cash CDOs and Synthetic CDOs
Cases of Asset Securitization: REITs, REATs, CLOs, etc.
**** Attention: Scheduled office hours are as follows: Friday 1:30 p.m. to 2:30 p.m. If you cannot make it at this period, you should make an appoint with me in advance. ****
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課程要求 |
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預期每週課後學習時數 |
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Office Hours |
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參考書目 |
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評量方式
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