Type of Credit: Required
Credit(s)
Number of Students
This course introduces students to the theory and practice of financial derivatives, including forwards, futures, options, swaps, and structured products. Emphasis is placed on pricing, valuation, and hedging strategies. Starting this semester, the course will be taught in English and will incorporate Bloomberg-based assignments and projects. These updates reflect valuable feedback from alumni who emphasized the importance of Bloomberg fluency and English communication skills in international finance environments, especially during internships or employment at multinational institutions.
The basic concepts of financial derivatives will not be covered in this course. Students are expected to review and understand the fundamentals on their own.
Additionally, international exchange students who did not study derivatives during their undergraduate years are advised not to take this required course, as it has a heavier workload.
能力項目說明
Course Objectives
By the end of the course, students will be able to:
|
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 - 3 hrs |
1.5 hrs |
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|
2 |
(1) Principles of Pricing Forward/Futures Contracts (2) Use of FX Forwards and FRA |
ch.4, ch.5 |
HW2 |
3 hrs |
2.5 hrs |
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|
3 |
Hedging Strategies Using Futures |
ch.3 |
HW3 |
3 hrs |
2 hrs |
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|
4 |
|
ch.3 |
HW4 |
3 hrs |
3 hrs |
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|
5 |
Holiday (Teachers' Day) |
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|
6 |
Holiday (Mid-Autumn Festival) |
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|
7 |
Swaps |
ch.7 |
HW5 |
2.5 hrs |
3 hrs |
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|
8 |
Mid-Term Exam Pricing Model |
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|
|
|
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|
9 |
Swaps |
ch.7 |
HW6 |
2.5 hrs |
3 hrs |
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|
10 |
Option Pricing (i): Binomial Tree Model |
ch.13 |
HW7 |
3 hrs |
4 hrs |
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|
11 |
Option Pricing (ii): Black/Schole Model |
ch.15 |
HW8 |
3 hrs |
4 hrs |
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|
12 |
Option Greeks |
ch.19 |
HW9 |
3 hrs |
4 hrs |
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|
13 |
Volatility Trading |
ch.20 |
HW10 |
3 hrs |
3 hrs |
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|
14 |
Exotic Options |
ch.26 |
HW11 |
3 hrs |
4 hrs |
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| 15 | Structured Products: Exotic Options | ch.26 | 2.5 hrs | 3 hrs | |||
| 16 | Final-Term Exam | ||||||
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%
All course materials and announcements will be available on the Moodle platform.