| 當期課號 | 7620 | Course Number | 7620 |
|---|---|---|---|
| 授課教師 | 顏盟 | Instructor | YEN,MENG FENG |
| 中文課名 | 期貨與選擇權市場 | Course Name | Futures and Options |
| 開課單位 | 財務金融系碩士在職專班三A | Department | |
| 修習別 | 選修 | Required/Elective | Elective |
| 學分數 | 3 | Credits | 3 |
| 課程目標 | 期貨與選擇權之基本概念、價格決定方法、交易流程與市場上實際商品之介紹 | Objectives | This course provides on the one hand working knowledge , and the other hand theorectical basic knowledge of futures and options markets . |
| 教材 | Options, Futures, and other Derivatives,5th ed.(2003), written by John C. Hull and published by Prentice Hall | Teaching Materials | |
| 成績評量方式 | 期中考:50% 期末考:50% 上課全勤:外加5% |
Grading | mid-term exam: 50% final exam: 50% non-absence bouns: 5% |
| 教師網頁 | www.cyut.edu.tw/~yenmf | ||
| 教學內容 | 主題1:期貨市場介紹與期貨評價理論; 主題2:期貨避險策略; 主題3:選擇權市場介紹; 主題4:選擇權交易策略; 主題5:Black-Scholes和二元模型評價理論回顧; 主題6:選擇權5大敏感度分析-希臘字母; 主題7:選擇權波動率微笑曲線探討; 主題8:風險值介紹; 主題9:波動率和相關係數的估計方法; 主題10:新奇選擇權的介紹; 主題11:信用風險; 主題12:信用衍生性商品; 主題13:實質選擇權 |
Syllabus | Lecture 1: introduction to the futures market and pricing models Lecture 2: Hedging strategies using futures Lecture 3: introduction to the option market Lecture 4: trading strategies for options Lecture 5: review of the Black-Scholes model and the binomial trees Lecture 6: analysis of the five Greek letters Lecture 7: volatility smiles Lecture 8: value at risk Lecture 9: estimation of volatilities and correlations Lecture 10: intorduction to exotic options Lecture 11: credit risk Lecture 12: credit derivatives Lecture 13: real options |