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課程名稱 |
隨機微積分
Stochastic Calculus |
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開課學期 |
99-2 |
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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 |
石百達 |
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課號 |
Fin7052 |
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課程識別碼 |
723EM9600 |
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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 |
星期一5(12:20~13:10)星期四3,4(10:20~12:10) |
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上課地點 |
管二301管二301 |
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備註 |
本課程以英語授課。碩士班財工組必選，博士班財工組先修。
總人數上限：25人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/992si |
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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 |
隨機微積分 |
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課程目標 |
Graduate Institute PHD
1.Masterful in contemporary financial theory and practice
2.Proficiency in quantitative method
3.Ability to conduct research in financial theory and empirical study independently
Graduate Institute
1.Masterful in financial theory and practice
2.Familiar with financial policies as well as managerial contexts
3.Ability to conduct basic financial research
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課程要求 |
Graduate Institute PHD
1.Masterful in contemporary financial theory and practice
2.Proficiency in quantitative method
3.Ability to conduct research in financial theory and empirical study independently
Graduate Institute
1.Masterful in financial theory and practice
2.Familiar with financial policies as well as managerial contexts
3.Ability to conduct basic financial research
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預期每週課後學習時數 |
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Office Hours |
另約時間 備註： 用e-mail預約 |
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指定閱讀 |
Tomas Bjőrk, (2009), Arbitrage Theory in Continuous Time, Oxford: Oxford University Press. |
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參考書目 |
1.Steven E. Shreve, (2005), Stochastic Calculus for Finance II, Springer
2.Philip James Hunt, J. E. Kennedy, (2004), Financial derivatives in theory and practice, John Wiley and Sons
3.Richard Durrett, (2005), Probability: Theory and Examples, Thomson Brooks/Cole
4.Lecture notes
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評量方式
(僅供參考) |
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No. |
項目 |
百分比 |
說明 |
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1. |
Class Participation |
15% |
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2. |
Oral Presentation |
15% |
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3. |
Final Research Project |
30% |
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4. |
Final |
40% |
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