課程名稱 |
期貨與選擇權市場 Futures and Options Markets |
開課學期 |
103-1 |
授課對象 |
管理學院 財務金融學研究所 |
授課教師 |
李存修 |
課號 |
Fin7027 |
課程識別碼 |
723 M4400 |
班次 |
|
學分 |
3 |
全/半年 |
半年 |
必/選修 |
選修 |
上課時間 |
星期三2,3,4(9:10~12:10) |
上課地點 |
管二203 |
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 |
Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1031Fin7027_ |
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 |
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 which covers the function and operation of the exchanges. Trading strategies such as speculation strategies, spreading strategies, combination strategies and hedging strategies are covered with real word examples. Various pricing techniques are then covered and compared. Students are required and encouraged to participate a trading game as well as the class discussion. In depth analysis of a real world derivative product is also required for the course. |
課程目標 |
To familiarize students with the functions of derivative exchanges, the risk and return of various trading/hedging strategies and the techniques of derivative pricing. |
課程要求 |
待補 |
預期每週課後學習時數 |
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Office Hours |
另約時間 備註: by appointment, Tel:(02)3366-1077, Fax:(02)23633269,
E-mail:tsunsiou@ntu.edu.tw
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指定閱讀 |
待補 |
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) |
No. |
項目 |
百分比 |
說明 |
1. |
Midterm exam |
40% |
|
2. |
Final exam |
40% |
|
3. |
Trading game |
20% |
|
|
週次 |
日期 |
單元主題 |
第1週 |
9/17 |
Introduction to derivatives marke,
Chapter(s):1,2 Hull |
第2週 |
9/24 |
Futures pricing,
Chapter(s):5 Hull |
第3週 |
10/1 |
Hedging with futures,
Chapter(s):3 Hull |
第4週 |
10/8 |
Interest rate futures,
Chapter(s):6 Hull |
第5週 |
10/15 |
Options market and trading strategies(I)
Chapter(s):9、11 Hull
|
第6週 |
10/22 |
Options market and trading strategies(II),
Chapter(s):9、11 Hull |
第7週 |
10/29 |
visit TAIFEX |
第8週 |
11/5 |
Relevant stochastic calculus,
Chapter(s):12.13 Hull
|
第9週 |
11/12 |
Midterm exam (open book) |
第10週 |
11/19 |
Exact option pricing formula,
Chapter(s):14 Hull |
第11週 |
11/26 |
Option pricing model,
Chapter(s):14 Hull |
第12週 |
12/3 |
Hedging positions in options/portfolio insurance,
Chapter(s):18Hull |
第13週 |
12/10 |
The market of stock warrants
Handouts |
第14週 |
12/17 |
Estimating volatilities,
Chapter(s):19,22 Hull |
第15週 |
12/24 |
Numerical procedures for option pricing,
Chapter(s):20 Hull |
第16週 |
12/31 |
Interest rate options(I)
Chapter(s):28 Hull |
第17週 |
1/7 |
Final exams (open book) |
第18週 |
1/14 |
Interest rate options(II)
Chapter(s):30 Hull |
|