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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 |
110-2 |
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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 |
顏廣杰 |
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課號 |
Fin7053 |
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課程識別碼 |
723 M9700 |
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班次 |
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學分 |
3.0 |
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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 |
星期三2,3,4(9:10~12:10) |
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上課地點 |
管二204 |
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備註 |
本課程中文授課,使用英文教科書。先修科目：隨機過程。
限碩士班以上
總人數上限：40人 |
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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 |
This course is aimed to provide an introduction to the arbitrage theory in continuous time and in particular to pricing and hedging theories for financial derivatives. The course also contains an introduction to stochastic differential equations (SDEs) and Ito calculus. Instead of going to the technical details, we will focus on their applications.
Syllabus---------------------
1. Introduction
2. The Binomial Model
3. Stochastic Integrals
4. Differential Equations
5. Portfolio Dynamics
6. Arbitrage Pricing
7. Completeness and Hedging
8. Parity Relations and Delta Hedging
9. Bonds and Interest Rates
10. Short Rate Models
11. Martingale Models for the Short Rate
12. Research Papers |
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課程目標 |
After completing the course students should:
(1)Understand the general ideas and concepts of the arbitrage theory in continuous time,
(2)Be familiar with the arbitrage theory and its applications to pricing problems for financial derivatives, and
(3)Be able to derive the main results and to perform calculations of roughly the same degree of difficulty as in the exercises. |
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課程要求 |
Presentation: 25%.
Homework: 25%
Exam: 40%.
Participation: 10% |
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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 |
My Lecture Notes |
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參考書目 |
1. Bjork, T., 2020, Arbitrage Theory in Continuous Time, 4th edition, Oxford University Press.
2. Shreve, S.E., 2010, Stochastic Calculus for Finance II: Continuous-Time Models
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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. |
Presentation |
25% |
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2. |
Homework |
25% |
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3. |
Exam |
40% |
only one exam |
4. |
Participation |
10% |
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週次 |
日期 |
單元主題 |
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第1週 |
2/16 |
Introduction to the syllabus |
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第2週 |
2/23 |
Ch2: Binomial Model |
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第3週 |
3/2 |
Ch3: More general one period model |
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第4週 |
3/9 |
Ch4: Stochastic Integrals
Ch5: Stochastic Differential Equations |
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第5週 |
3/16 |
Ch6: Portfolio Dynamics
Ch7: Arbitrage Pricing |
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第6週 |
3/23 |
Ch7: Arbitrage Pricing
Ch8: Completeness and Hedging |
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第7週 |
3/30 |
Ch10: Parity relations and delta hedging |
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第8週 |
4/6 |
Ch11: The martingale approach to arbitrage theory |
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第9週 |
4/13 |
Midterm Exam |
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第10週 |
4/20 |
*Ch15: Change of numeraire |
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第11週 |
4/27 |
*Ch19: Bonds and interest rates |
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第12週 |
5/4 |
*Ch20: Short rate models |
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第13週 |
5/11 |
Introduction to literature about options market |
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第14週 |
5/18 |
Presentation(1/3) |
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第15週 |
5/25 |
Presentation(2/3) |
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第16週 |
6/1 |
Final Week: Presentation(3/3) |
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第17週 |
6/8 |
Optional (How to make a literature review) |
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第18週 |
6/15 |
Optional (depending on the students' demand) |
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