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課程名稱 |
財務工程二
Financial Engineering (Ⅱ) |
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開課學期 |
105-2 |
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授課對象 |
管理學院 國際企業學研究所 |
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授課教師 |
李志偉 |
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課號 |
IB7045 |
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課程識別碼 |
724 M1990 |
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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 |
星期三2,3,4(9:10~12:10) |
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上課地點 |
管二204 |
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備註 |
財務工程組七選四必修。限碩士班以上。
限碩士班以上 且 限本系所學生(含輔系、雙修生)
總人數上限：40人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1052Credit |
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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 |
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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課程目標 |
After completing this course you will be able to:
Quantify credit risk in derivative products
Apply various techniques to mitigate credit risk
Calculate credit exposure using Monte Carlo simulation
Assimilate lessons from financial disasters (Barings Fall, Metallgesellschaft). |
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課程要求 |
Investments |
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預期每週課後學習時數 |
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Office Hours |
每週三 12:10~14:00 |
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指定閱讀 |
Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance) January 26, 2003 by Darrell Duffie |
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參考書目 |
Options, Futures, and Other Derivatives by John C. Hull |
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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. |
Midterm exam |
40% |
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2. |
Final exam |
40% |
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3. |
Class participation |
5% |
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4. |
Project and report |
15% |
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週次 |
日期 |
單元主題 |
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第1週 |
2/22 |
Ch19 Volatility smiles |
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第2週 |
3/01 |
Ch20 Basic numerical procedures |
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第3週 |
3/08 |
Ch21 VaR |
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第4週 |
3/15 |
Ch21 VaR |
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第5週 |
3/22 |
Ch22 Estimating volatilities |
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第6週 |
3/29 |
Ch23 Credit Risk |
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第7週 |
4/05 |
Holiday |
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第8週 |
4/12 |
Ch23 Credit Risk |
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第9週 |
4/19 |
期中考 |
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第10週 |
4/26 |
Ch24 Credit Derivatives |
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第11週 |
5/03 |
Ch24 Credit Derivatives |
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第12週 |
5/10 |
Ch27 Martingales and measures |
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第13週 |
5/17 |
Ch28 Interest rate derivatives |
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第14週 |
5/24 |
Ch28 Interest rate derivatives |
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第15週 |
5/31 |
Ch30 Model of short rate |
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第16週 |
6/07 |
Ch31 HJM and LMM |
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第17週 |
6/14 |
期末考 |