財務工程導論

臺北科技大學 115-1 學期課程，課號 362123。

課程大綱

This course will shed light on the methodology for evaluating derivatives, hedging and managing investment risk. The pricing algorithm will be implemented in C language and Matlab. The problems that will be dealt with include the approximation of internal rates of returns via the bisection and Newton method, and the calculation of spot rate curves via the bootstrap method.

課程進度

Week 1 : Course Introduction and Preliminary Week 2 : The Tool for Coding C Language and MATLAB Week 3 : If /Else Structure and For/While Loop Week 4 : Cash Flow Evaluation / Bisection and Newton Method-1 Week 5 : Cash Flow Evaluation / Bisection and Newton Method-2 Week 6 : Cash Flow Evaluation / Bisection and Newton Method-3 Week 7 : Cash Flow Evaluation / Bisection and Newton Method-4 Week 8 : Arrays Week 9 : Introduction to Interest Rates / Bootstrap Method-1 Week 10: Introduction to Interest Rates / Bootstrap Method-2 Week 11: Introduction to Interest Rates / Bootstrap Method-3 Week 12: Introduction to Interest Rates / Bootstrap Method-4 Week 13: Bond Price Volatility and Hedge-1 Week 14: Bond Price Volatility and Hedge-2 Week 15: Bond Price Volatility and Hedge-3 Week 16: Final Exam Week 17+18: Course Review

評量方式

Exercise: 60% (A 40% score deduction for late submission) Take-Home Midterm Exercise: 10% Final Exam: 30% Participation in Weeks 17 and 18 will earn 2 additional points for the final course score (maximum final grade: 99).

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 Options, Futures, and Other Derivatives, by J. C. Hull, 8TH Edition, Prentice Hall