檔案產生時間：2019/9/26 下午 03:17:02
本表如有異動，於4小時內自動更新

一、課程基本資料 Course Information
科目名稱 Course Title： (中文)基礎金融商品訂價全英語授課 (英文)INTRODUCTION TO QUANTITATIVE FINANCE		開課學期 Semester：108學年度第1學期 開課班級 Class：經三Ａ
授課教師 Instructor：米克里斯多 MICHALOPOULOS, CHRISTOS
科目代碼 Course Code：BEC35001	單全學期 Semester/Year：全			分組組別 Section：全英語授課
人數限制 Class Size：70	必選修別 Required/Elective：選			學分數 Credit(s)：2
星期節次 Day/Session： 四56	前次異動時間 Time Last Edited：108年06月19日23時58分
經濟學系基本能力指標 Basic Ability Index
編號 Code 指標名稱 Basic Ability Index 本科目對應之指標 Correspondent Index 達成該項基本能力之考評方式 Methods Of Evaluating This Ability 1 具備經濟學核心知識 Core economic knowledge. ● 》出缺席狀況 》課堂討論與表現 》報告(含個人或小組、口頭或書面、專題、訪問、觀察等形式) 》作業成績 2 具備經濟應用及政策分析能力 The ability to apply economic theories and conduct policy analysis. ● 》出缺席狀況 》課堂討論與表現 》報告(含個人或小組、口頭或書面、專題、訪問、觀察等形式) 》作業成績 》資料蒐集與分析 3 具備邏輯思考能力 The ability of logical thinking. ● 》課堂討論與表現 》報告(含個人或小組、口頭或書面、專題、訪問、觀察等形式) 》作業成績 4 具備數理分析能力 The ability to perform mathematical analysis. ● 》課堂討論與表現 》報告(含個人或小組、口頭或書面、專題、訪問、觀察等形式) 》作業成績 》資料蒐集與分析 5 具備統計分析能力 The ability to perform statistical analysis. ● 》課堂討論與表現 》報告(含個人或小組、口頭或書面、專題、訪問、觀察等形式) 》作業成績 6 具備金融與財務專業能力 Professional skills in money, banking and finance. ● 》出缺席狀況 》課堂討論與表現 》報告(含個人或小組、口頭或書面、專題、訪問、觀察等形式) 》作業成績 》資料蒐集與分析 7 具備資料收集及表達能力 The ability to gather information and to make presentations. ● 》報告(含個人或小組、口頭或書面、專題、訪問、觀察等形式) 》作業成績 》資料蒐集與分析 8 具備英文閱讀能力 The ability to read English proficiently. ● 》報告(含個人或小組、口頭或書面、專題、訪問、觀察等形式) 》作業成績 》資料蒐集與分析
二、指定教科書及參考資料 Textbooks and Reference (請修課同學遵守智慧財產權，不得非法影印)
●指定教科書 Required Texts Textbook uploaded in moodle (no need to buy it). It is: H.D. Junghenn, "Option Valuation. A First Course in Financial Mathematics", 2011, CRS Press. ●參考書資料暨網路資源 Reference Books and Online Resources Attached additional material in moodle.
三、教學目標 Objectives
In this class students will learn the fundamentals of pricing financial derivatives and in particular oprions. The goal is to derive rigorously the Black-Scholes-Merton Option pricing formula and to do so, we need to first learn the necessary technical machinery. Therefore, we discuss topics like asset returns' calculations, basic probability theory and in particular conditional random variables, derivatives and arbitrage, modelling portfolio as a (discrete) stochastic process, thr Binomial model for pricing an option and finally the martingale stochastic process, probably the most important mathematical process in the whole finance. Some computational aspects will also be discussed, using R, a free statistical computing language. This knowledge is essential for students that aspire to work in finance, especially in investment positions.
In this class students will learn the fundamentals of pricing financial derivatives and in particular oprions. The goal is to derive rigorously the Black-Scholes-Merton Option pricing formula and to do so, we need to first learn the necessary technical machinery. Therefore, we discuss topics like asset returns' calculations, basic probability theory and in particular conditional random variables, derivatives and arbitrage, modelling portfolio as a (discrete) stochastic process, thr Binomial model for pricing an option and finally the martingale stochastic process, probably the most important mathematical process in the whole finance. Some computational aspects will also be discussed, using R, a free statistical computing language. This knowledge is essential for students that aspire to work in finance, especially in investment positions.
四、課程內容 Course Description
●整體敘述 Overall Description In this class students will learn the fundamentals of pricing financial assets. We blend economic theory with modern financial mathematics with the goal to teach students how to model theoretically and empirically assets. On the theoretical front, students will learn how to characterize investors preferences using expected utility theory, selecting investments based on risk/return considerations (mean-variance analysis), models for pricing assets (CAPM, Factor models), consumption-savings decisions of economic agents, derivative pricing (forwards, options), stochastic diffusion processes, martingales and Ito calculus, dynamic hedging techniques and if time permits, basic jump processes. On the empirical front, students will learn the statistical computer language R and how to use it to upload real data and model. This course is crucial for students who plan to work in the financial sector as analysts.
●分週敘述 Weekly Schedule 週次 Wk 日期 Date 課程內容 Content 備註 Note 1 9/12 Interest and present value.  　 2 9/19 Interest and present value.  　 3 9/26 Basic Probability Theory.  　 4 10/3 Basic Probability Theory.  　 5 10/10 Random Variables.  　 6 10/17 Random Variables.  　 7 10/24 Options and Arbitrage.  　 8 10/31 Options and Arbitrage.  　 9 11/7 Discrete-time Portfolio Processes.  　 10 11/14 Discrete-time Portfolio Processes.  　 11 11/21 Expectation of a Random variable.  　 12 11/28 Expectation of a Random variable.  　 13 12/5 Binomial Model.  　 14 12/12 Binomial Model.  　 15 12/19 Conditional Expectation and Martingales.  　 16 12/26 Conditional Expectation and Martingales.  　 17 1/2 Conditional Expectation and Martingales.  　 18 1/9 Project.

五、考評及成績核算方式 Grading

配分項目 Items 次數 Times 配分比率 Percentage 配分標準說明 Grading Description 出席 18 20%   平時作業 6 30%   分組作業 1 50%   配分比率加總 100%

六、授課教師課業輔導時間和聯絡方式 Office Hours And Contact Info

●課業輔導時間 Office Hour Mon.16:00~18:00 Thur.14:00~16:00

●聯絡方式 Contact Info 研究室地點 Office：3413 EMAIL：mixalopoulosx@gmail.com 聯絡電話 Tel： 其他 Others：

七、教學助理聯絡方式 TA’s Contact Info

教學助理姓名 Name 連絡電話 Tel EMAIL 其他 Others

八、建議先修課程 Suggested Prerequisite Course

None.

九、課程其他要求 Other Requirements

-

十、學校教材上網及教師個人網址 University’s Web Portal And Teacher's Website

學校教材上網網址 University’s Teaching Material Portal： 東吳大學Moodle數位平台：http://isee.scu.edu.tw

教師個人網址 Teacher's Website：

其他 Others：

十一、計畫表公布後異動說明 Changes Made After Posting Syllabus