Type of Credit: Required
Credit(s)
Number of Students
Modern Financial Theory has become more and more technical with the development of continuous-time models. While being a relatively new field, Continuous-Time Finance becomes more recognized since the Nobel prize in Economics have been awarded to Robert Merton and Myron Scholes for their work on pricing models of derivative securities.
This course has preparatory knowledge, which must be discussed with the instructor before taking the course!
能力項目說明
Mandatory readings will be indicated in class. Strategic Asset Allocation: Portfolio Choice for Long-Term Investors by Campbell and Viceira, 2002. Lecture notes will be distributed in class. We will go over the most important continuous-time models in class. This includes pricing of derivative securities, consumption-portfolio selection models using the stochastic control (dynamic programming method) and martingale pricing methodology.
Contents (Proposed for the first semester)
Review of Corporate Finance and Risk Management Issues
Session 1- 2 Stochastic processes. Random variables-filtration–tribes, Brownian motions-stochastic processes, Martingales-stochastic integrals. Itô lemma.
Session 3-4 Arbitrage principle. Application to option pricing in the binomial model.
Session 5 Risk-neutral probabilities. A discrete-time example.
| 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 |
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本學期擬定上課進度：
3. Continue
4. 風險管理授課(授課4次，閱讀相關論文)
5. Sorensen, C. (1999), “Dynamic Asset Allocation and Fixed Income Management,” Journal of Financial and Quantitative Analysis, Vol.34, 513-531.
6. Risk Stochastic Control in Pension Valuation，管理學報，第17卷，第3期，547-561頁，2000。
7. Dynamic Funding and Investment Strategy for Defined Benefit Pension Schemes: Model Incorporating Asset-Liability Matching Criterions, Journal of Actuarial Practice. 10, 131-155, 2002.
8. Optimal Portfolio Decisions in Pension Fund Management，管理學報，第21卷，第2期，278-290頁，2004
9. Incorporating Foreign Equities in the Optimal Asset Allocation of an Insurer with the Consideration for Background Risks: Models and Numerical Illustrations, Asian Pacific Journal of Risk and Insurance, 1, 12-32, 2005.
10. Controlling the Shortfall Risks in Dynamic Asset Allocation (with Yi-Feng Li), 證券市場發展季刊, 19: 2, 79-118, 2007.
11. 期中簡要報告
12. 期中簡要報告
13. Deelstra G., M. Grasselli and P. Koehl. (2003) “Optimal Investment Strategies in The Presence of A Minimum Guarantee.” Insurance Mathematics and Economics 33: 189-207.
14. Canner, N.; Mankiw, N. G. and Weil, D. N. (1997), “An Asset Allocation Puzzle,” The American Economic Review, Vol.87, 181-191.
15. Bajeux-Besnainou, I.; Jordan, J. V. and Portait, R. (2001), “An Asset Allocation Puzzle: Comment,” The American Economic Review, Vol.91, 1170-1179.
16. 期末報告 (進階財務精算論文)
期中報告或及期末報告(40%，60%)，或依上課情形彈性變動，期末報告的型式將針對所教授內容分析實務上產生的問題，並撰寫報告。
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Björk, T. Arbitrage Theory in Continuous Time. 3rd Edition, Oxford University Press, 2009. Lamberton, D. and Lapeyre, B. Introduction to Stochastic Calculus Applied to Finance, Chapman & Hall, 1996. Merton, R.C., Continuous Time Finance, Blackwell, Oxford, 1990. Musiela and Rutkowski, Martingale Methods in Financial Modelling, Springer, 1997 |
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課程相關連結Course Related Links |
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