Type of Credit: Elective
Credit(s)
Number of Students
Prerequisties include elementary calculus, probability and some linear algebra. This class will teach two Nobel Prize winning theories. Building on mathematical models of bond and stock prices, these two theories lead in different directions: Black-Scholes arbitrage pricing of options and other derivative securities on one hand, and Markowitz portfolio optimization and the Capital Asset Pricing Model on the other hand.
能力項目說明
Prerequisties include elementary calculus, probability and some linear algebra. This class will teach two Nobel Prize winning theories. Building on mathematical models of bond and stock prices, these two theories lead in different directions: Black-Scholes arbitrage pricing of options and other derivative securities on one hand, and Markowitz portfolio optimization and the Capital Asset Pricing Model on the other hand.
1. 114/09/04 A simple market model (Ch 1)
2. 114/09/11 A simple market model (Ch 1)
3. 114/09/19 Risk-Free Assets (Ch 2)
4. 114/09/26 Risk-Free Assets (Ch 2)
5. 114/10/02 期中考一 (Ch 1 ~ Ch 2)
6. 114/10/09 Portfolio Management (Ch 3)
7. 114/10/16 Portfolio Management (Ch 3)
8. 114/10/23 Portfolio Management (Ch 3)
9. 114/10/30 Portfolio (Ch 3) / Forward and Futures Contracts (Ch 4)
10. 114/11/06 Forward and Futures Contracts (Ch 4)
11. 114/11/13 期中考二 (Ch 3 ~ Ch 4)
12. 114/11/20 Forward and Futures Contracts (Ch 4)
13. 114/11/27 Option: general properties (Ch 5)
14. 114/12/04 Option: general properties (Ch 5)
15. 112/12/11 Option: general properties (Ch 5)
16. 100/12/18 期末考 (Ch 5)
學生學習投入時間:
每週課堂教學 3小時
每週預習/複習 4-5小時
114/10/02 13:10 ~ 16:00 期中考一 23%
114/11/13 13:10 ~ 16:00 期中考二 33%
114/12/18 13:10 ~ 16:00 期末考 44%
Mathematics for Finance - An Introduction to Financial Engineering, second edition, M. Capiński and T. Zastawniak, Springer, 2011.