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淡江大学财务金融学系「」课程大纲资料表
科目名称科目代号□□□□□□开课年级□一年级□二年级□三年级□四年级□博士班学分数3必选修□必修选修每周授课时数□23先修科目InvestmentInvestmentTheory(GraduateProgram)课程描述applicationofthesederivativesecuritieswillbeanalyzed.Studentswillgetfamiliarwiththedesigning/pricing/hedging/insuringandleveragetradingmechaniofderivativesafterfinishingthiscourse.教材LectureNotes,SelectedPapers.
Hull,J.,Options,FuturesandOtherDerivativeSecurities,6thed.,2006,Pearson.
Kolb,R.,Options,Futures,SwapsandOtherDerivativeSecurities,4thed.2005,Pearson.
Fabozzi,F.J.,BondMarkets,AnalysisandStrategies,5thed.2004,Pearson.
Derman,E.,MyLifeasaQuant:ReflectionsonPhysicsandFinance.张静潮与张淑芳译,一个计量金融大师在华尔街-从物理学家到高盛董事的波澜人生.课程目标G1.提昇专业外语能力暨养成具国际观之视野.(国际视野)Toimproveprofessional/foreignlanguagecapabilitiesandthevisionofglobalization.(GlobalVision)
G2.熟悉分析推演,统合整理及逻辑思辨之工具与方法.(科学分析能力)Tobefamiliarwiththemethodsofdeductive/inductivemethod,integratedprocesses,andlogicalthinking.(Scientific/AnalyticCompetence)
G3.奠定学习进阶财金相关知识与理论之基础.(财金知识与伦理)Toestablishthefundamentalofadvancedfinancialtheoriesandknowledge.(FinancialKnowledgeandEthics)
□G4.厚植考取专业财金证照之实力.(专业证照实力)Toenhancethequalificationforacquisitionoffinancialcertificates.(FinancialCertificates)预期成果1.Understandingthetradingsystemofderivatives
2.Understandingthedesigningandpricingofderivatives.
3.Understandinghedgingandhedging/portfolioinsurance/riskmanagementofderivatives.
4.Getingfamiliarwiththeleveragetrading/assetmanagementmechaniofderivatives.课程纲要1.FunctionsofDerivatives:PriceDiscovery,Hedge/Insurance,LeverageTrading/Speculation,Arbitrage/SpreadTrading,VolatilityTrading,TaxShield.
2.Forwards/FuturesPricing,IndexArbitrage,Hedging,AssetManagementusingDerivatives.
3.MatlabFinancial/DerivativesToolboxonForwards/Futures.
4.OptionsCombinationalStrategies,Matlab,TF2001,Option！,DerivaGem.
5.FundamentalsofStochastic/ItoCalculus/GBOptionsPricingModels..
6.GreeksandRiskManagement.
7.MonteCarloSimulationtowardOPM,Matlab/Excel.
8.Binomial/TrinomialOptionPricingModel(B/TOPM),Matlab.
9.ReportI.
10.VolatilitySmile/Smirk,Matlab.
11.ImpliedVolatilityIndex/VolatilityModelsFamily,,Matlab.
12.MarketSentimentIndexes,Matlab.
13.NetBuyingPressureHypothesis.
14.ExoticOptions,Option！,DerivaGem.
15.Structured/HybridSecurities.
16.AssetSecuritization.
17.TermStructureofInterestRatesModels.
18.ReportII.教学方法讲授□个案教学专题实作□电脑实作□简报□模拟竞赛□其他学习评量期中/期末考试□随堂测验期末报告□实作演练□个案分析课堂参与
Gradingpolicy:Homework30%ReportsI(30%)&,II(30%).备注thed.2004,Pearson.此书有中译本.
衍生性金融商品课程目标与系核心能力的对应关系A1.文字组织,撰写报告,制作简报与表达能力.(表达能力)Toraisetheabilitiesofanizing,writing,presenting,andexpressing.(ExpressiveAbilities)A2.团体分工合作,沟通协调之能力.(协调能力)Toincreasetheabilitiesofgroupworking,municationandco-ordination.(CoordinateAbilities)A3.清晰之逻辑思考能力.(逻辑思考能力)Toadvancetheabilitiesoflogicalthinking.(LogicalThinkingAbilities)A4.运用数学,统计等工具之能力.(基础数学能力)Toprogresstheabilitiesofusingmathematicsandstatistics.(FundamentalMathematicAbilities)□A5.资料处理,统整资源或运算分析之能力.(资料处理能力)Toimprovetheabilitiesofdataprocessing,resourceintegration,andanalyzing.(DataProcessAbilities)□A6.建立基础财经观念.(基础财经观念)Tobuildupthefundamentalfinancialandeconomicconcepts.(FundamentalFinancialandEconomicConcept)A7.认识财金专业.(专业财金观念)Tounderstandfinancialterms.(ProfessionalFinancialConcept)□A8.透析企业财务报表之能力.(财报分析能力)Toimprovetheabilitiesofanalyzingfinancialstatements.(FinancialStatementAnalysis)□A9.理解金融机构实务运作.(金融机构)Torealizethefinancialinstitution'spracticaloperation.(FinancialInstitution)A10.投资操作金融商品之能力.(投资操作能力)Toenhancetheabilitiesofinvestingfinancialinstruments.(InvestmentAbilities)A11.了解市场机制与运作法则.(市场机制)Tounderstandthemarketmechaniandoperationalprinciples.(MarketMechani)A12.财金专业文献阅读评析之能力.(文献阅读能力)Toenhancetheabilitiesofreadingandreviewingprofessional/financialliteratures.(ReadingAbilities)
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