課程名稱 |
期貨與選擇權市場 Futures and Options Markets |
開課學期 |
100-1 |
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 |
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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 |
管二305 |
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:60人 |
Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1001fom |
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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課程概述 |
Course Description:
This course starts 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.
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課程目標 |
Course Objective:
An introductory course in options and futures required for financial engineering program, with additional emphasis on real world practice.
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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 |
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指定閱讀 |
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參考書目 |
Textbook:
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 |
35% |
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2. |
Final exam |
35% |
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3. |
Term paper |
20% |
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4. |
Trading game |
10% |
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週次 |
日期 |
單元主題 |
第1週 |
9/14 |
Introdution to derivatives market |
第2週 |
9/21 |
Futures pricing |
第3週 |
9/28 |
Hedging with futures |
第4週 |
10/5 |
Interest rate futures |
第5週 |
10/12 |
Introduction to options market |
第6週 |
10/19 |
Elementary option trading strategies |
第7週 |
10/26 |
General arbitrage relationships |
第8週 |
11/2 |
Relevant stochastic calculus |
第9週 |
11/9 |
Midterm exam (open book) |
第10週 |
11/16 |
Exact option pricing formula |
第11週 |
11/23 |
Visiting TAIFEX |
第12週 |
11/30 |
Hedging positions in options/portfolio insurance |
第13週 |
12/7 |
Numerical procedures for option pricing |
第14週 |
12/14 |
Estimating volatilities |
第15週 |
12/21 |
Interest rate models |
第16週 |
12/28 |
Interest rate derivatives |
第17週 |
2012/1/4 |
Exotic options |
第18週 |
2012/1/11 |
Final exams (open book) |
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