| 當期課號 | 1066 | Course Number | 1066 |
|---|---|---|---|
| 授課教師 | 顏盟 | Instructor | YEN,MENG FENG |
| 中文課名 | 期貨與選擇權 | Course Name | Futures & Options |
| 開課單位 | 財務金融系(四日)三A | Department | |
| 修習別 | 選修 | Required/Elective | Elective |
| 學分數 | 3 | Credits | 3 |
| 課程目標 | 鑒於台灣期貨選擇市場的蓬勃發展，本課程的設計旨在幫助畢業後有心踏入該市場並成為專業期權交易員、期權投資顧問，或想嘗試自己投資的學生獲得應有的基本知識。上課內容含括各種期權商品的介紹、期貨選擇權的定價和操作策略、以及如何使用期貨選擇權來作避險和套利。 | Objectives | The need for finance students to understand the derivatives market has been increasing due to the boom of the local futures and options market. For those who want to become a professional derivatives trader or consultant in this area after graduation, this course will provide them with knowledge about this market, skills in pricing futures and options. Additionally, course participants will learn how to do hedging and making risk-free arbitrage profits with futures or options. |
| 教材 | 教科書:期貨與選擇權(廖四郎王昭文著,新陸書局); 投影片 |
Teaching Materials | textbook by 廖四郎and王昭文(新陸書局) power point slides |
| 成績評量方式 | 期中考:30%; 期末考:30%; 期權虛擬交易競賽:20% (競賽成績和競賽積分各佔10%) 期末交易策略報告:20% 額外加分:1.全勤5%;2.報考期貨業務員證照:2%;3.獲取證照者再加3%(但考試日期須在本學期) |
Grading | mid-term exam:30%; final exam:30%; project on the six basic trading strategies for options:20%; performance on trading competition: 20%; additional bonus:1.no leave:5%;2.registration for the exam for the certificate of Taiwan futures broker:2%;3.certificate acquired:3% |
| 教師網頁 | http://www.cyut.edu.tw/~yenmf | ||
| 教學內容 | 主題一: 衍生性金融商品導論 主題二: 期貨導論 主題三: 期貨合理價格與交易策略 主題四: 股價指數期貨 主題五: 交易所買賣基金和期貨套利策略 主題六: 遠期利率協定和利率期貨 主題七: 選擇權概論 主題八: 選擇權價格行為 主題九: 選擇權交易策略 主題十: 買權賣權評價公式與其運用 主題十一: Black-Scholes選擇權理論與應用 主題十二: 希臘字母與其運用(若時間不足,則省略) |
Syllabus | Lecture 1: introduction to financial derivatives Lecture 2: introduction to futures market and its products Lecture 3: futures pricing and trading strategies Lecture 4: stock index futures Lecture 5: ETF and its arbitrage with index futures Lecture 6: FRA and interest rate futures Lecture 7: Introduction to option market and its products Lecture 8: Upper and lower price limits of options Lecture 9: Trading strategies of options Lecture 10: Put-call parity and its application Lecture 11: Black-Scholes theory and its application Lecture 12: Greek letters and their applications(time permitting) |