衍生性商品定價(Derivatives Pricing), Spring 2013

Indeed, the underpinning of our theories of finance is the choice between risk and return for all investors, and this requires everchanging assessments of risk in a world of such great and interesting complexity. ~ Robert Engle (2009).

進度:

Week 1 (Feb. 20) - Introduction.

Week 2 (Feb. 27) - Introduction to Stochastic Theory and Modern Finance.

Week 3 (Mar. 6) - Chapter 13. (Hull's Book). HW1 Due.

Week 4 (Mar. 13) - Chapter 13. (Hull's Book). HW2 Due.
(Mar. 14-15) 2013 NCTS Workshop on Stochastic Processes and Related Topics, NTHU.
Supplement Readings:
(Han's book) P. 4-8 for definition of Brownian motion (Wiener process) and its Monte Carlo simulation.


Week 5 (Mar. 20) - Chapter 13. (Hull's Book).
Introduction to programming languages of Matlab and C/C++. Download financial data from public domains. (Operated by Chien-Liang Kuo)
Supplement Readings:
(Han's book) Section 3 of Chapter 1 (p. 16-25) Focus on Ito's lemma and its use for solving stochastic differential equations.


Week 6 (Mar. 27) - Chapter 14. (Hull's Book). HW3 Due.


Week 7 (Apr. 3) - Break. No class.


Week 8 (Apr. 10) - Chapter 14. (Hull's Book). HW4 Due.
Supplement Readings: Lecture note.


Week 9 (Apr. 17) - Derivation of VIX.
Supplement Readings: Lecture note.


Week 10 (Apr. 24) - Chapter 18. The Greek Letters. (Hull's Book).


Week 11 (May 1) - Chapter 16. Options on stock indices and currencies. (Hull's Book). Project I due.


Week 12 (May 8) - Chapter 17. Futures Options. (Hull's Book).


Week 13 (May 15) - Chapter 19. Volatility Smile. (Hull's book).


Week 14 (May 22) - Chapter 20. Basic numerical procedures. (Hull's book).


Week 15 (May 29) - Chapter 21. Value at Risk. (Hull's book).

Week 16 (June 5) - Chapter 22. Estimating volatilities and correlations. (Hull's book).

Week 17 (June 12) - Holiday.