課程名稱 |
連續時間財務 Continuous-time Finance |
開課學期 |
101-2 |
授課對象 |
管理學院 財務金融學研究所 |
授課教師 |
王耀輝 |
課號 |
Fin7053 |
課程識別碼 |
723EM9700 |
班次 |
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學分 |
3 |
全/半年 |
半年 |
必/選修 |
選修 |
上課時間 |
星期四2,3,4(9:10~12:10) |
上課地點 |
管二304 |
備註 |
本課程以英語授課。財工組必選。先修科目:隨機過程。財金系學生優先選課,管院其他學生次之。 限碩士班以上 總人數上限:30人 |
Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1012ctfinance |
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 |
This course is aimed to provide an introduction to the arbitrage theory in continuous time and in particular to pricing and hedging theories for financial derivatives. The course also contains an introduction to stochastic differential equations (SDEs) and Ito calculus. Instead of going to the technical details, we will focus on their applications.
Syllabus---------------------
1. Introduction
2. The Binomial Model
3. Stochastic Integrals
4. Differential Equations
5. Portfolio Dynamics
6. Arbitrage Pricing
7. Completeness and Hedging
8. Parity Relations and Delta Hedging
9. Several Underlying Assets
10. Incomplete Markets
11. Currency Derivatives
12. Barrier Options (Optional)
13. Bonds and Interest Rates
14. Short Rate Models
15. Martingale Models for the Short Rate
16. Forward Rate Models
17. Forward and Futures
18. Papers
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課程目標 |
After completing the course students should:
(1)Understand the general ideas and concepts of the arbitrage theory in continuous time,
(2)Be familiar with the arbitrage theory and its applications to pricing problems for financial derivatives, and
(3)Be able to derive the main results and to perform calculations of roughly the same degree of difficulty as in the exercises. |
課程要求 |
Presentation: 15%. Homework: 25%. An exam: 50%. Participation: 10% |
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 |
Bjork, T., 2004, Arbitrage Theory in Continuous Time, 2nd edition, Oxford University Press. |
評量方式 (僅供參考) |
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週次 |
日期 |
單元主題 |
Week 1 |
2/21 |
Introduction |
Week 2 |
2/28 |
Holiday |
Week 3 |
3/07 |
State Preference Theory |
Week 4 |
3/14 |
Discrete-time and Continuous-time models |
Week 5 |
3/21 |
Stochastic Calculus |
Week 6 |
3/28 |
Black-Scholes Model |
Week 7 |
4/04 |
Holiday |
Week 8 |
4/11 |
Extension of B-S & Currency derivatives |
Week 9 |
4/18 |
Completeness and Hedging |
Week 10 |
4/25 |
Several Assets & Imcomplete Model |
Week 11 |
5/02 |
Interest rate models & Heston (1993) |
Week 12 |
5/09 |
Paper presentation |
Week 13 |
5/16 |
Paper presentation |
Week 14 |
5/23 |
Paper presentation |
Week 15 |
5/30 |
Paper presentation |
Week 16 |
6/06 |
Paper presentation |
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