財務數值方法

臺北科技大學 114-2 學期課程，課號 357295。

課程大綱

本課程將延續財務工程導論的內容，將持續在衍生性商品評價、避險以及風險控管等問題上繼續深入探討；本學期將把焦點放在股票衍生性商品與利率衍生性商品的評價與避險上，並利用C(或C++)和Matlab兩種工具來執行 樹狀結構與蒙地卡羅法 以評價選擇權與公司債的價值。 This course will still focus on the methods for bonds and derivatives pricing and hedging, such as the evaluation of stock and interest rate options. For implementation purposes associated with the concepts introduced, such as the tree structure, two programming languages for computation will be provided: C (or C++ ) and Matlab.

課程進度

Week 1 : Course Introduction and Preliminary Week 2 : Fundamental Economic Features of Stock Options - 1 Week 3 : Fundamental Economic Features of Stock Options - 2 Week 4 : Functions and Their Applications - 1 Week 5 : Functions and Their Applications - 2 Week 6 : Introduction to Fundamental Option Pricing Theory - 1 Week 7 : Introduction to Fundamental Option Pricing Theory - 2 Week 8 : Introduction to Fundamental Option Pricing Theory - 3 Week 9 : Midterm Review and Exercise Week 10 : Tree Method and Extension of Option Pricing Theory - 1 Week 11 : Tree Method and Extension of Option Pricing Theory - 2 Week 12 : Tree Method and Extension of Option Pricing Theory - 3 Week 13 : Tree Method and Extension of Option Pricing Theory - 4 Week 14 : Monte Carlo Simulation and Option Pricing - 1 Week 15 : Monte Carlo Simulation and Option Pricing - 2 Week 16 : Monte Carlo Simulation and Option Pricing - 3 Week 17 : Take-Home Final Exam Week 18 : Course Review

評量方式

Exercise: 50% Midterm Exercise: 10% Take-Home Final Exam: 40%

教材

【遵守智慧財產權觀念，請使用正版教科書，不得使用非法影印教科書】 使用外文原文書：否 Use of self-made materials