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課程名稱 |
期貨與選擇權市場
Futures and Options Markets |
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開課學期 |
105-1 |
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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 |
李存修 |
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課號 |
Fin7027 |
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課程識別碼 |
723 M4400 |
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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 |
星期五7,8,9(14:20~17:20) |
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上課地點 |
管二103 |
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備註 |
本課程中文授課,使用英文教科書。主修財工組必選。
限碩士班以上 且 限本系所學生(含輔系、雙修生)
總人數上限：50人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1051Fin7027_ |
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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 begins with a description of futures and options markets covering the function and operation of the exchanges. Trading strategies such as speculation strategies, spreading strategies, combination strategies and hedging strategies are discussed with real word examples. Various pricing techniques are then investigated and compared. Students are required to take part in a trading game. |
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課程目標 |
To familiarize students with the functions of derivative exchanges, the risk and return of various trading/hedging strategies, the techniques of derivative pricing and the framework of risk management. |
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課程要求 |
待補 |
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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 |
待補 |
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參考書目 |
Hull , Options, Futures and Other Derivative Securities, Prentice-Hall
International, 8th. ed., 2012. (Required)
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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. |
Midterm exam |
40% |
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2. |
Final exam |
40% |
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3. |
Trading game (Individual account) |
20% |
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週次 |
日期 |
單元主題 |
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第1週 |
9/16 |
Holiday |
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第2週 |
9/23 |
Introduction to derivatives market (Chapter(s):1,2 Hull) |
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第3週 |
9/30 |
Futures pricing (Chapter(s):5 Hull) |
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第4週 |
10/07 |
Hedging with futures (Chapter(s):3 Hull) |
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第5週 |
10/14 |
Interest rate futures (Chapter(s):6 Hull) |
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第6週 |
10/21 |
Options market and trading strategies (Chapter(s):9、11 Hull) |
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第7週 |
10/28 |
Arbitrage relationship among options (Chapter(s):10 Hull) |
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第8週 |
11/04 |
Options and dividend adjustment |
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第9週 |
11/11 |
Midterm exam (open book) |
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第10週 |
11/18 |
Visiting TAIFEX |
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第11週 |
11/25 |
Relevant stochastic calculus (Chapter(s):13 Hull) |
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第12週 |
12/02 |
Exact option pricing formula (Chapter(s):14 Hull) |
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第13週 |
12/9 |
Guest speaker (元大期貨 許國村 資深副總) |
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第14週 |
12/16 |
Binomial option pricing model (Chapter(s):12 Hull) |
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第15週 |
12/23 |
Hedging positions in options/portfolio insurance (Chapter(s):18 Hull) |
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第16週 |
12/30 |
Estimating volatilities (Chapter(s):19,22 Hull) |
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第17週 |
1/6 |
Numerical procedures for option pricing (Chapter(s):20 Hull) |
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第18週 |
1/13 |
Final exams (open book) |
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