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 the application of derivative financial commodities and mathematics in finance. The course introduces the basic concepts of finance, the concepts of derivative commodities, and the promotion of commodity prices, including: futures, interest rates, long-term contracts, transaction contracts and choice rights, etc. Random micro-score concept and leveling 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 will introduce the application of derivative commodities and computer simulations, and some financial resources will be provided. Verification of engineering products with computer program calculation theory and actual price.
陳松男, 2011, 金融工程學( 三版) 金融商品創新與選擇權理論。
Carlo, Q. M. (2001). Monte Carlo methods in financial engineering.
Dixon, M. F., Halperin, I., & Bilokon, P. (2020). Machine learning in finance (Vol. 1170). New York, NY, USA: Springer International Publishing.
Musiela, M. and M. Rutkowski, 2005, “Martingale methods in financial modelling”, Springer.
Hull, J. C., 2003, “Options, futures and other derivatives”, Prentice Hall.
Shreve, S. E., 2004, “Stochastic calculus for finance II: continuous-time models”, Springer.
Chen Songnan, 2011, Financial Engineering (Three Editions) Financial commodity innovation and choice rights theory.
Carlo, Q. M. (2001). Monte Carlo methods in financial engineering.
Dixon, M. F., Halperin, I., & Bilokon, P. (2020). Machine learning in finance (Vol. 1170). New York, NY, USA: Springer International Publishing.
Musiela, M. and M. Rutkowski, 2005, “Martingale methods in financial modelling”, Springer.
Hull, J. C., 2003, “Options, futures and other derivatives”, Prentice Hall.
Shreve, S. E., 2004, “Stochastic calculation for finance II: continuous-time models”, Springer.
| 評分項目 Grading Method | 配分比例 Grading percentage | 說明 Description |
|---|---|---|
| 出席出席 Attend |
10 | |
| 程式作業與報告以及自主學習程式作業與報告以及自主學習 Programming and reporting and independent learning |
40 | 包含彈性學習成績 |
| 財務工程基本試題財務工程基本試題 Basic questions about financial engineering |
50 | 包含彈性學習成績 |
