課程資訊
課程名稱
衍生性商品交易
Derivatives Trading 
開課學期
104-1 
授課對象
管理學院  財務金融學系  
授課教師
何思特 
課號
Fin5041 
課程識別碼
723EU5650 
班次
 
學分
全/半年
半年 
必/選修
選修 
上課時間
星期二6,7,8,9,10,A(13:20~19:15) 
上課地點
 
備註
本課程以英語授課。於教研館207室上課。本課程25人以上修課才開課。週二單週上課。與雲普華夫合開
限學士班三年級以上
總人數上限:60人 
Ceiba 課程網頁
http://ceiba.ntu.edu.tw/1041Fin5041_ 
課程簡介影片
 
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課程概述

衍生性商品交易課程簡介-1 (by Prof. Hekster)
http://youtu.be/rqvEpUQi9Uo

衍生性商品交易課程簡介-2 (by Prof. Hekster)
http://youtu.be/krfdN9WNMF8

衍生性商品交易課程經驗分享 (by student Chun-Lin Wu)
http://youtu.be/pdybmtewD1Q  

課程目標
1) Understand the concept of ‘price discovery’, the role that markets play in this concept and the impact of market design (‘market microstructure’)
2) Apply and evaluate the basic strategies in futures and options, from the perspective of both investors as arbitrageurs
3) Understand options theory from an analytical perspective (the behavior of options under various circumstances), but also be able to use this options theory in actual trading situations and in managing options positions
4) Understand the concept of implied volatility and the pivotal role this plays in analyzing option markets. Furthermore, students will be able to summarize the volatility information of the options market into generic formulae (volatility curves and volatility surfaces)
5) Manage an options position from the perspective of a market maker, including scenario based risk management and dynamic adjustment of trading parameters
6) Understand advanced options characteristics such as early exercise and the pricing of tail events. Students will further understand specific advanced options strategies, such as volatility arbitrage and dispersion trading. 
課程要求
 
預期每週課後學習時數
 
Office Hours
另約時間 
參考書目
1.Options, Futures and other derivatives by Hull, Prentice Hall [‘Hull’]
2.Algorithmic Trading and DMA by Johnson, 4 Myeloma Press [‘DMA’].  
指定閱讀
 
評量方式
(僅供參考)
 
No.
項目
百分比
說明
1. 
Class participation and contribution 
5% 
Class participation and contribution 
2. 
One Individual Assignment 
15% 
Drafting a structured product 
3. 
One Group Assignments 
15% 
Investigating a volatility arbitrage strategy 
4. 
Final Exam 
65% 
Final Exam 
 
課程進度
週次
日期
單元主題
無資料