課程名稱 |
衍生性商品交易 Derivatives Trading |
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 |
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 |
星期二6,7,8,A,B,C(13:20~21:05) |
上課地點 |
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備註 |
本課程以英語授課。本課程隔週上課,每次上6小時。修課學生以本系大三、大四及碩士班優先。於教研館207室上課。週二單週上課。與何思特合開 限學士班三年級以上 總人數上限:50人 |
Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1001DT_fin5041 |
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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為確保您我的權利,請尊重智慧財產權及不得非法影印
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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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課程目標 |
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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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參考書目 |
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