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 財務金融學系 |
授課教師 |
雲普華夫 |
課號 |
Fin5041 |
課程識別碼 |
723EU5650 |
班次 |
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學分 |
3 |
全/半年 |
半年 |
必/選修 |
選修 |
上課時間 |
星期二5,6,7,8,9,A(12:20~19:15) |
上課地點 |
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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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核心能力關聯 |
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課程大綱
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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.
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