本課程介紹衍生性金融商品以及數學在財務的應用，課程中介紹了財務的基本概念、衍生性商品的概念、商品價格推導，包含：期貨、利率、遠期契約、交換契約及選擇權等，隨機微積分的觀念與平賭法 (Martingale)。課程內容將涵蓋各相關商品的市場運作機制、商品價格的決定以及避險操作。財務工程理論與商品價格的推導，分成離散與連續過程的選擇權定價方法，二元樹法、平賭(Martingale) 評價法。介紹利率模型與結構型商品可分為股權連結商品與保本型商品兩種，並帶入不同選擇權商品的推導與數值模擬，課程以理論搭配實務。課程一為金融市場商品的介紹與基本的衍生性選擇權推導，課程二為較複雜的結構型商品與利率模型的介紹，在課程一與二都會介紹衍生性商品與電腦模擬的應用，部分財務工程商品搭配電腦程式計算理論價格與實際價格的驗證。This course introduces derivative financial commodities and the application of mathematics in finance. The course introduces the basic concepts of finance, the concepts of derivative commodities, and commodity price promotion, including: futures, interest rates, long-term contracts, exchange contracts and choice rights, random micro-point concepts and stake method (Martingale). The course content will cover the market operation mechanism of each related product, the determination of product price and avoidance operations. Financial engineering theory and the promotion of commodity prices, the selection and right-to-price method of dividing and continuous processes, binary tree method and Martingale evaluation method. Introducing the interest rate model and structural commodities can be divided into two types: equity-linked commodities and guaranteed commodities, and bringing in the promotion and numerical simulation of different selected commodities. The course is combined with theoretical practices. Course 1 is the introduction of goods in the financial market and the promotion of basic derivative choices. Course 2 is the introduction of complex structural commodities and interest rate models. Course 1 and 2 introduces the application of derivative commodities and computer simulations, and verification of some financial engineering commodities with computer programming calculation theory prices and actual prices.
陳松男, 2011, 金融工程學( 三版) 金融商品創新與選擇權理論。
Chen Songnan, 2011, Financial Engineering (Three Editions) Financial commodity innovation and choice rights theory.
| 評分項目 Grading Method | 配分比例 Grading percentage | 說明 Description |
|---|---|---|
| 第一次小考第一次小考 First small exam |
20 | |
| 期中考期中考 Midterm exam |
20 | |
| 第二次小考第二次小考 The second small exam |
20 | |
| 期末考期末考 Final exam |
20 | |
| 作業與出席作業與出席 Work and attendance |
20 |
