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課程名稱 |
財務工程一
Financial Engineering (Ⅰ) |
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開課學期 |
109-1 |
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授課對象 |
管理學院 國際企業學系 |
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授課教師 |
李志偉 |
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課號 |
IB7044 |
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課程識別碼 |
724 M1980 |
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班次 |
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學分 |
3.0 |
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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 |
星期二7,8,9(14:20~17:20) |
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上課地點 |
管二304 |
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備註 |
限大三以上．財務工程組七選四必修。
限學士班三年級以上
總人數上限：50人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1091FE1 |
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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 |
Financial Engineering is a multidisciplinary field involving financial theory, the methods of engineering, the tools of mathematics and the practice of programming. |
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課程目標 |
This course discusses the concepts and analytical techniques of financial derivatives. These innovative products can be used to solve a wide range of financial problems. |
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課程要求 |
It is designed for students who wish to obtain positions in the securities, banking, and financial management and consulting industries, or as quantitative analysts in corporate treasury and finance departments of general manufacturing and service firms. |
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預期每週課後學習時數 |
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Office Hours |
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指定閱讀 |
待補 |
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參考書目 |
Options, Futures, and other Derivatives, by John C. Hull, 9th ed., 2015,
Prentice Hall. (雙葉代理) |
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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. |
Mid - Term Exam |
40% |
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2. |
Final Exam |
40% |
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3. |
Projects and Class participation |
20% |
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週次 |
日期 |
單元主題 |
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第1週 |
9/15 |
Introduction |
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第2週 |
9/22 |
Mechanics of Futures Markets |
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第3週 |
9/29 |
Hedging Strategies Using Futures |
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第4週 |
10/06 |
Interest Rates |
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第5週 |
10/13 |
Determination of Forward and
Futures Prices
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第6週 |
10/20 |
Interest Rate Futures |
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第7週 |
10/27 |
Swaps (Project 1) |
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第8週 |
11/03 |
Securitization and the Credit Crisis of 2007 |
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第9週 |
11/10 |
Mid-term Exam 期中考 |
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第10週 |
11/17 |
Mechanics of Options Markets |
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第11週 |
11/24 |
Properties of Stock Options
Trading Strategies Involving Options
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第12週 |
12/01 |
Binomial Trees (Project 2) |
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第13週 |
12/08 |
Wiener Process
The Black-Scholes-Merton Model
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第14週 |
12/15 |
Options on Stock Indices and Currency |
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第15週 |
12/22 |
Futures Options |
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第16週 |
12/29 |
The Greek Letters |
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第17週 |
1/05 |
Final Exam 期末考 |
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第18週 |
1/12 |
ELN valuation (Project 3) |
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