數理金融 (Mathematical Finance), Summer 2011

In the end, a theory is accepted not because it is confirmed by conventional empirical tests, but because researchers persuade one another that the theory is correct and relevant. ~ Fischer Black (1986).

The financial marketplace is an infinitely complex, continuously evolving process. ~ Robert Engle (2009).

進度:

Week 1 (July 11-15) - Discrete-Time Finance. Lectured by Professor Ching-Tang Wu, Department of Applied Math, National Chiao-Tung University, Taiwan. （交大應數系 吳慶堂教授）

Seminar on July 15 (2-4PM): 演講者：謝夢龍先生 （臺灣金融工程師學會秘書長; 前期貨工會秘書長, 前元大期貨總經理） 演講題目： 漫談金融，數理金融及其它.

Week 2 (July 18-22) - Continuous-Time Finance. Lectured by Professor Ju-Yi Yen, Department of Math, Vanderbilt University, USA.

Seminar on July 18 (4-5:30 PM): 演講者：郭芳安先生 (國家高速電腦中心) 演講題目： 蒙地卡羅與平行計算 - 應用於計算加速器
Firm Visit on July 22 (3-5 PM): 中信金控

Week 3 (July 25-29) - Computational Methods in Finance. Lectured by Professor Chuan-Hsiang Han, Department of Quantitative Finance, National Tsing-Hua University, Taiwan. (清大計財系 韓傳祥教授)

Seminars on July 29:
(1) 11-12 AM. 演講者： Dr. Nan-Chieh Chiu 邱南傑  博士 (寶來證券) 演講題目： Building a Trading Floor.
(2) 2-3 PM. 演講者：郭芳安先生 (國家高速電腦中心) 演講題目：計算金融與高速平行計算工程模擬.
(3) 3-4 PM. 演講者： Dr. Aaron Chen (Andante Capital Partners) 演講題目： Non-random walk down Wall Street .

Week 4 (Aug 1-5) - Volatility Estimation - Fourier Transform Method. Lectured by Professor Chuan-Hsiang Han, Department of Quantitative Finance, National Tsing-Hua University, Taiwan. (清大計財系 韓傳祥教授)

Firm Visit on Aug. 5 (9:30 - 11:30 AM): 台灣期貨交易所
Seminar on Aug. 5 (2-3PM): 演講者：梁維仁先生（元大香港總經理; President of Quanta Securities, HK） 演講題目：金融工程是何物，有何用?

Week 5 (Aug 8-12) - Model Calibration (Yield Curve and Implied Volatility Surface). Lectured by Professor Chuan-Hsiang Han, Department of Quantitative Finance, National Tsing-Hua University, Taiwan. (清大計財系 韓傳祥教授)

Seminars on Aug. 12: (1) 演講者：林昭廷先生（國泰人壽副總經理） 演講題目：TBA.
Firm Visit on Aug. 12: 元大寶來期貨.

Week 6 (Aug 15-19) - Special Topics. Lectured by Professor Chuan-Hsiang Han, Department of Quantitative Finance, National Tsing-Hua University, Taiwan. (清大計財系 韓傳祥教授)

Seminar on Aug. 19: 演講者：張士傑教授（政治大學商學院風險管理與保險系; 風險管理學會理事長; 前金管會委員） 演講題目：TBA.