「金融創新」
Fall 2005, EMBA Class

授課講師：李賢源 (台大財務金融系教授)
TEL: 3366-1081; E-mail: shyanlee@ccms.ntu.edu.tw

近年來公司財務管理、銀行資產負債管理、投信基金管理、保險公司資產負債管理、新金融商品設計、以及各類金融商品的投資理財等財務金融領域快速發展與演進，造就了「財務工程」這門新學科。「財務工程」由於興起時間很短，因此它的內容尚未完全界定清楚，在財務金融不同領域工作的人，對「財務工程」的說法就不同，但總括來說「財務工程」大概包含下列之內容：它是用以解決財務金融問題的一種過程、及設計財務金融產品解決問題的技術。更具體的說它包含界定問題、設計商品、組合或分解技術、商品定價與避險、商品推廣、商品通路的建立等，都是「財務工程」的範疇。
由上述對「財務工程」的定義可知，「財務工程」其實不單只是設計新的金融商品或是對新金融商品評價而已，而應是包含上自界定問題、下至推廣與配銷都是一貫要思考與解決的問題，缺少其中任何一個環節都不是完美的「財務工程」，也都無法真正解決所面臨的財務金融問題。因此，本課程雖名為「金融創新」，但不以只介紹或設計新金融商品、或是只對新金融商品評價為目標而已，而是要探討令新金融商品成功之「財務工程」的各個步驟與環節，讓學員「見樹又見林」的了解「金融創新」的真義，而非僅是了解「金融創新」的片段。
本課程每週授課一次，授課內容如下所示。授課內容以已在臺灣盛行之新金融商品為主要探討標的，主要探討其發行原因、動機、目的、及未來發展的前景，當然該新金融商品整個的「財務工程」亦將詳細討論。除了介紹臺灣已盛行之新金融商品外，本課程亦要探討最近的將來最可能引進臺灣的新金融商品。當然介紹各種新金融商品之前，需要的財務理論與評價技巧亦是本課程討論的重點之一。
如眾所周知的，學習「金融創新」或「財務工程」是需要許多財務理論、計量技巧、與電腦技術的，學員能從本課程獲得多少專業知識，其實和你的投入時間與你有前面提到的知識多寡有絕對的關係。不過學員不必焦慮或緊張，本課程將會把財務理論、計量技巧、與電腦技術的份量盡可能的降到最低，以利大多數人的學習。至於程度高者，可自行學習、自我挑戰。本課程有多次不定期的作業，以利學員練習；一次期末考試。本課程鼓勵學員發問問題、提出時事或個案於課堂上討論。你的成績與期末考試分數及課堂上的表現成正相關。本課程將會不定期發放講義，沒有上課教科書，但是下面這一本參考書值得你擁有。

John C. Hull, 2003, “Options, Futures, &Other Derivatives,” 5th edition, Prentice Hall, Inc.
Salih N. Neftci, 2004, “Principles of Financial Engineering,” 1th edition, Elsevier, Inc.

課程內容：(以下所列內容不可能完全講授，可學多少端視學員欲投入多少時間)

1. Option Pricing Theory: Self-financing, Dynamically Complete, Dynamically Hedging
2. Black-Scholes Model, Cox-Ross-Rubinstein Model, Jarrow Model
3. Risk Management: The Greeks
4. Case Study: Stock Options, Index Options, Warrants, and ESOPs (員工認股權計畫)
5. Case Study: Apply the Option Theory to Analyze the Policy of 『戒急用忍』
6. Case Study: Apply the Option Theory to Value a Firm
—the Option Approach vs the Discounted Cashflow Approach
7. Barrier Options, Lookback Options, Ladder Options, Asian Options
8. Ritchken Trinomial Tree and Cheuk & Vorst Trinomial Tree
9. Reset Options: Continuous v.s. Discrete time products
10. Case Study: 大華04，建弘02，富邦02，寶來06
11. Currency Derivatives: Products, Hedging, Arbitraging, Speculating, Pricing
12. Currency Options Pricing: a closed form approach and a tree approach
13. Garman-Kolhagen Model, Courtdan-Bordutha Tree Model
14. Exotic Currency Options: Barrier Options, Lookback Options, Ladder Options, Asian Options, Currency Reset Options, Currency Corridor Options
15. Case Study: The impact of Markets’ Bid/Ask Quotation on the Premium of Currency Option
16. Index Futures Arbitrage: SIMEX vs MSCI, TAIFEX vs TSE, TAIFEX vs SIMEX
17. Stock Index Option: particularly the stock index put option
18. Exchange Traded Funds (ETF): TW50 ETF; IT52 ETF; MIDCAP 100 ETF; BOND ETF
19. Case Study: Interactions Among ETFs, Index Futures, and Index Options
20. Fixed Income Securities’ Trading Strategies: Passive, Active, Contingent Strategies
21. Standard Equity Option vs Fixed Income Security: Taylor Expansion Approach
22. Case Study: The Long Term Capital Management (LTCM) case
23. Case Study: The Orange County Case
24. Agency Debts: Mortgage Backed Securities; Asset Backed Securities—Developing History;
Products; Pricing; Risk Management
25. Case Study: The Perspectives of Developing Agency Debts in Taiwan
26. Corporate Bond Pricing and Product Design
27. Convertible Bonds (CB) & Euro-Convertible Bonds (ECB); Bond with Warrants
28. Case Study: Convertible Strategies for Hedge Funds
29. Bills and Bonds Futures: Product Design; Pricing; Arbitrage; Risk Management
29. The Yield Curve Market: Interest Rate Swaps, Cross Currency Swaps
30. Case Study: Cross-Currency Bond Positions—Spreading and Hedging
31. The Interest Rate Volatility Market: Swaptions, Caps, Floors, Collars
32. Case Study: The Application of Bills Position Hedging with Floors
33. Bond Option Pricing and Hedging: The Closed Form Formula and The Lattice Approach
34. Asset Swaps of CB and ECB
35. Case Study: Motivations, Difficulties, and Resolution on Asset Swaps of CB in Taiwan
36. Exotic Interest Rate Swap Contracts: Products--Asian IRS, Flexible IRS etc; Pricing &
Hedging—Hull& White, Heath-Jarrow-Morton, Grace-Gatarek-Musiela
37. Exotic Interest Rate Option Contracts: Products--Average caps, Average floors, Flexible caps, Flexible floors etc; Pricing & Hedging—Hull& White, Heath-Jarrow-Morton, Grace-Gatarek-Musiela
38. Portfolio Insurance: Theory and Practice
39. Case Study: Examples of Portfolio Insurance—CPPI and TIPP Approaches
40. Case Study: Guaranteed Principal Funds-- Motivations, Difficulties, and Resolution
41. Case Study: High Yield Notes, Index-Linked Notes
42. Case Study: Investment-Type Insurance Contracts
Index-Linked Term Life Insurance with Principal Guaranteed
—宏利人壽美麗人生保單；保德信人壽連動保德信元富金滿意基金保單；
Index-Linked Term Life Insurance with High (Low) Percentage Principal Guaranteed and Low (High) Participation Rate；
Floating Rate Guaranteed Term Life Insurance Contracts—國泰、三商、國華人壽
43. Case Studies for the Failure on Implementing Derivatives
Energy Companies: Germany MGRM Case, US Enron Case, Showa Shell Sekiyu
Consumer Product Companies: Proctor & Gamble, SEITA (French Tobacco Co.)
Non-Profit Funds: Common Fund, State of Wisconsin Investment Board
Banking Industry: Barings Bank, National Westminster Bank,
44. Asset Securitization Markets: CBO; Cash CDO; Synthetic CDO; Reit; Reat; RMBS; CMBS; ABS etc.
45. Problems of Taiwan Bond Fund and Restructure of Taiwan Bond Fund
Structured Bond Stripping
Synthetic CDOs + Structured Bonds CBOs

***Office Hours are temporarily set up on 5:00—6:30 P.M. either Wednesday or Thursday each week during the semester. Due to the fact that EMBA’s schedule is usually not stable, however, the meeting must be requested and arranged in advance, or you will not reach me. Of course, if you are not available in both periods, you can arrange other meeting time depending on my tight schedule.***