Type of Credit: Required
Credit(s)
Number of Students
Derivatives are financial instruments whose payoffs are derived from those of other financial instruments. The use of derivatives has grown enormously during the last several decades. Certain types of derivatives are traded actively in the exchange, while the vast majority of derivatives are transacted in the over-the-counter markets. Derivatives provide a means of managing financial risk. Financial institutions and individuals can use derivatives to hedge, speculate and control financial risks. Therefore it is essential for students to develop a familiarity of different financial derivatives and their risk characteristics.
能力項目說明
The course is designed to provide students with a particular emphasis on the unified, systematic way of thinking about derivative instruments. By the end of the course, students will understand the conceptual framework of derivative valuations and know how derivative products are priced and used in the real world.
| 教學週次Course Week | 彈性補充教學週次Flexible Supplemental Instruction Week | 彈性補充教學類別Flexible Supplemental Instruction Type |
|---|---|---|
|
週次 Week |
課程主題 Topic |
課程內容與指定閱讀 Content and Reading Assignment |
教學活動與作業 Teaching Activities and Homework |
學習投入時間 Student workload expectation |
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|
課堂講授 In-class Hours |
課程前後 Outside-of-class Hours |
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|
1 |
Introduction to Derivatives |
ch.1 |
HW1 |
2 hrs |
1.5 hrs |
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|
2 |
Forward Contracts: Types of Contracts: FX Forwards, FRA |
ch.3, ch.6 |
HW2 |
3 hrs |
2.5 hrs |
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|
3 |
Forward Contracts: Forward Hedging Strategies |
ch.6 |
HW3 |
3 hrs |
2 hrs |
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|
4 |
|
ch.3, 4 |
HW4 |
3 hrs |
3 hrs |
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|
5 |
Future Contracts: Futures Hedging Strategies |
ch.5 |
HW5 |
2 hrs |
3 hrs |
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|
6 |
Options Markets and Option Trading Strategy |
ch.7 |
HW6 |
2 hrs |
3 hrs |
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|
7 |
Properties of Option Prices |
ch.9, 10 |
|
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|
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|
8 |
Option Pricing (i): Binomial Tree Pricing Model |
ch.11, 12, 13 |
HW7 |
2.5 hrs |
3 hrs |
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|
9 |
Mid-Term Exam |
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|
10 |
Option Pricing (ii): Black/Schole Model |
ch.14 |
HW8 |
3 hrs |
4 hrs |
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|
11 |
The Mathematics of Black/Scholes |
ch.15 |
HW9 |
3 hrs |
4 hrs |
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|
12 |
Option Greeks |
ch.17 |
HW10 |
3 hrs |
4 hrs |
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|
13 |
Exotic Options |
ch.18, 19 |
HW11 |
3 hrs |
3 hrs |
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|
14 |
Interest Rate Swaps |
ch.23 |
HW12 |
3 hrs |
4 hrs |
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|
15 |
Interest Rate Swaps | ch.23 |
|
3 hrs |
3 hrs |
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|
16 |
Final-Term Exam | ||||||
|
17 |
self-study week |
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18 |
self-study week |
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Grades in this course will be based on group presentations, in-class discussions, and exams. Supplementary readings related to specific topics covered in the class will be assigned for either class discussion or group presentation.
There will be a mid-term exam and a final exam. Both exams will be scheduled in the regular exam period. The exams will be open-book, and will be cumulative. No make-up exams are permitted.
Grades will be computed by averaging scores with the following weights:
- class participation and homework presentation 30%
- mid-term exam 30%
- final exam 40%
1. Hull, John. Options, Futures, and Other Derivatives. (latest version: 2022)
2. Some journal articles and HBS cases will be assigned as supplementary and additional materials during the semester.
NA