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課程名稱 |
衍生性商品交易
Derivatives Trading |
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開課學期 |
103-2 |
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授課對象 |
管理學院 財務金融學研究所 |
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授課教師 |
何思特 |
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課號 |
Fin5041 |
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課程識別碼 |
723EU5650 |
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班次 |
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學分 |
3 |
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全/半年 |
半年 |
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必/選修 |
選修 |
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上課時間 |
星期二5,6,7,8,9,A(12:20~19:15) |
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上課地點 |
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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。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 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1032Fin5041_ |
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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 |
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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 |
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 |
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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. |
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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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Office Hours |
另約時間 |
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指定閱讀 |
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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’]. |
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評量方式
(僅供參考) |
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No. |
項目 |
百分比 |
說明 |
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1. |
Final Exam |
65% |
Final Exam |
2. |
One Group Assignments |
15% |
Investigating a volatility arbitrage strategy |
3. |
One Individual Assignment |
15% |
Drafting a structured product |
4. |
Class participation and contribution |
5% |
Class participation and contribution |
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週次 |
日期 |
單元主題 |
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Week 1 |
2/24 |
Introduction to trading: markets in practice; Introduction to futures: specifications and strategies & Lecture 1st and 2nd |
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Week 2 |
3/3 |
TA session (13:20~14:20 @207) |
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Week 3 |
3/10 |
Lecture 1st, 2nd, 3rd, and 4th |
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Week 4 |
3/17 |
TA session (13:20~14:20 @207) |
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Week 5 |
3/24 |
Lecture 3rd, 4th, 5th, and 6th |
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Week 6 |
3/31 |
No class |
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Week 7 |
4/7 |
TA session (13:20~14:20 @207) |
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Week 8 |
4/14 |
Lecture 5th, 6th, 7th, and 8th |
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Week 9 |
4/21 |
TA session (13:20~14:20 @207) |
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Week 10 |
4/28 |
Lecture 7th, 8th, 9th, and 10th |
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Week 11 |
5/5 |
TA session (13:20~14:20 @207) |
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Week 12 |
5/12 |
Lecture 9th, 10th, and algo addedum |
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Week 13 |
5/19 |
TA session (13:20~14:20 @207) |
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Week 14 |
5/26 |
Lecture algo addedum and overall review |
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Week 15 |
6/2 |
TA session (13:20~14:20 @207) |
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Week 16 |
6/9 |
Final Exam |
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Week 17 |
6/16 |
On-site visit: Capital Futures |
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