週次 |
日期 |
單元主題 |
Week 1 |
2/18 |
Introduction |
Week 2 |
2/25 |
Basic Concepts of Probability and Convergence; Ito's Lemma |
Week 3 |
3/04 |
Real Options |
Week 4 |
3/11 |
Equilibrium Option Pricing |
Week 5 |
3/18 |
Presentation 1 |
Week 6 |
3/25 |
Stochastic Optimal Control |
Week 7 |
4/01 |
Replication and VIX |
Week 8 |
4/08 |
Presentation 2 |
Week 9 |
4/15 |
SV Model |
Week 10 |
4/22 |
SVJ Model |
Week 11 |
4/29 |
Mid-term Exam |
Week 12 |
5/06 |
Pricing American Options under General Stochastic Process 1 |
Week 13 |
5/13 |
Pricing American Options under General Stochastic Process 2 |
Week 14 |
5/20 |
Presentation 3 |
Week 15 |
5/27 |
Change of Measure & Reflection Principle |
Week 16 |
6/03 |
HJM Model & Libor Market Model |
Week 17 |
6/10 |
Presentation 4 |
Week 18 |
6/17 |
Final Exam |