課程資訊
課程名稱
衍生性商品交易
Derivatives Trading 
開課學期
101-1 
授課對象
管理學院  財務金融學研究所  
授課教師
雲普華夫 
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
星期二5,6,7,8,9,A(12:20~19:15) 
上課地點
 
備註
本課程以英語授課。Room:207,2F Instruction & Research Center。週二單週上課。與何思特合開
限學士班三年級以上 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/1011Fin5041 
課程簡介影片
 
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課程概述

THE FOCUS OF THIS COURSE IS TO APPLY THEORETICAL KNOWLEDGE OF DERIVATIVES IN ACTUAL TRADING STRATEGIES. WHILE (SOME) KNOWLEDGE OF OPTIONS THEORY IS A REQUIREMENT FOR THIS COURSE, THE START OF THIS COURSE WILL BE A RECAP OF OPTIONS THEORY ALBEIT FROM A MARKET PRACTITIONERS’ PERSPECTIVE.
TWO OPTIONS TRADING STRATEGIES WILL BE ANALYZED IN-DEPTH: OPTIONS MARKET MAKING AND VOLATILITY ARBITRAGE. IN ORDER TO FULLY GRASP THESE STRATEGIES, ADVANCED CHARACTERISTICS OF DERIVATIVES WILL BE DISCUSSED (FOR EXAMPLE THE CONCEPT OF SKEW AND THE EFFECTS OF EARLY EXERCISE). ADDITIONALLY, EMPHASIS WILL BE PLACED ON THE RISK MANAGEMENT METHODOLOGIES THAT ARE REQUIRED FOR PROPERLY MANAGING THESE STRATEGIES.
THE STUDENTS WILL APPLY THEIR KNOWLEDGE IN PRACTICE: THE DISCUSSION OF EACH TRADING STRATEGY IS CONCLUDED WITH A TRADING SESSION, WHERE STUDENTS WILL RUN THEIR OWN TRADING BOOK IN A SIMULATED MARKET ENVIRONMENT WITH REAL-TIME MARKET DATA.
 

課程目標
 
課程要求
 
預期每週課後學習時數
 
Office Hours
 
參考書目
 
指定閱讀
 
評量方式
(僅供參考)
   
課程進度
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