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課程名稱 |
數量財務專題
Simulation Tools in Financial Engineering |
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開課學期 |
104-2 |
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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 |
傅承德 |
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課號 |
Fin7060 |
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課程識別碼 |
723 M9510 |
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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 |
星期五2,3,4(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。
限碩士班以上
總人數上限：50人
外系人數限制：10人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1042Fin7060_ |
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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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課程概述 |
COURSE DESCRIPTIONS
Monte Carlo simulation has become an essential tool in pricing securities and in risk man-
agement, for instance, pricing American options and exotic options, calculating portfolio Value
at Risk (VaR) and approximating correlated default time. My intent is to focus on the issues
most important to Monte Carlo methods and their applications to quantitative finance. Math-
ematical background will be mentioned but details will be left for students with interest. The
direction and purpose of the course is to develop students’ programming tools for statistical
analysis of financial models/questions. I will start with basic simulation techniques (generating
numbers and variables, variance reduction, Markov Chain Monte Carlo), and then apply these
methods to various problems in quantitative finance (bootstrap method, option pricing, VaR
computation). |
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課程目標 |
TENTATIVE COURSE OUTLINE
1. Generating Random Numbers and Random Variables.
2. Statistical Analysis of Simulated Data, Applications to Capital Markets Models.
3. Variance Reduction Techniques.
4. Markov Chain Monte Carlo Methods, Generating Sample Paths.
5. Portfolio Evaluation, Fixed Income and Options Pricing.
6. Risk Management and Credit Risk.
2 |
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課程要求 |
PREREQUISITE
The students should have taken college course on calculus, some basic probability, stochas-
tic processes and stochastic calculus. Prior exposure to the basic computer skill such as R or
Matlab is useful. |
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預期每週課後學習時數 |
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Office Hours |
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指定閱讀 |
待補 |
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參考書目 |
COURSE MATERIALS
Textbook: Paul Glasserman. Monte Carlo Methods in Financial Engineering.
Springer-Verlag, New York, 2004.
References: Sheldon Ross. Simulation, 4th Edition. Academic Press, Oxford, UK, 2006.
Hui Wang. Monte Carlo Simulation with Applications to Finance. |
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評量方式
(僅供參考) |
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