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課程名稱 |
連續時間財務
CONTINUOUS-TIME FINANCE |
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開課學期 |
96-2 |
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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 |
王耀輝 |
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課號 |
Fin7053 |
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課程識別碼 |
723EM9700 |
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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 |
星期二6,7,8(13:20~16:20) |
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上課地點 |
管二304 |
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備註 |
財工組必選。先修科目：隨機過程。本課程以英語授課。本課程以英語授
限本系所學生(含輔系、雙修生)
總人數上限：40人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/962CTF |
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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 |
* |
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課程目標 |
* |
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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 |
另約時間 |
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指定閱讀 |
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參考書目 |
Bjork, T., 2004, Arbitrage Theory in Continuous Time, 2nd
edition, Oxford University Press. |
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評量方式
(僅供參考) |
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週次 |
日期 |
單元主題 |
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Week 1 |
2/19 |
Introduction |
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Week 2 |
2/26 |
Introduction and the Binomial Model |
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Week 3 |
3/04 |
Stochastic Calculus |
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Week 4 |
3/11 |
Black-Scholes |
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Week 5 |
3/18 |
Black-Scholes |
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Week 6 |
3/25 |
Completeness and Hedging |
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Week 7 |
4/01 |
Completeness and Hedging;
Extensiond of Black-Scholes |
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Week 8 |
4/08 |
Extensiond of Black-Scholes |
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Week 9 |
4/15 |
Extensiond of Black-Scholes |
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Week 10 |
4/22 |
Currency Derivatives; Imcomplete Marektss |
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Week 11 |
4/29 |
Several underlying assets |
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Week 12 |
5/06 |
Mid-term |
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Week 13 |
5/13 |
Introduction to Volatility |
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Week 14 |
5/20 |
Volatility Models |
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Week 15 |
5/27 |
Volatility Modeling and Forecasting |
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Week 16 |
6/03 |
Volatility Forecasting & Option Pricing |
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