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:109學年度第1學期 開課班級 Class:經三A |
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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:109年07月04日16時45分 | |||||||||||||||||||||||||||||||||||||||
經濟學系基本能力指標 Basic Ability Index | ||||||||||||||||||||||||||||||||||||||||
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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) |
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●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. |
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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. |
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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
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五、考評及成績核算方式 Grading | ||||||||||||||||||||
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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 |
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●聯絡方式 Contact Info
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七、教學助理聯絡方式 TA’s Contact Info | |||||
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八、建議先修課程 Suggested Prerequisite Course | |||||
None. | |||||
九、課程其他要求 Other Requirements | |||||
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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 |
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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 | |||||