利率金融工程学

DepartmentofMoneyandBanking,CollegeofCommerce,NCCUDr.Son-NanChenSyllabus_BS_FinancialEngineeringandInnovationsIII_Dr.Son-NanChen1NATIONALCHENGCHIUNIVERSITYCOLLEGEOFCOMMERCEDEPARTMENTOFMONEYANDBANKINGADVANCEDTOPICSINMODELLINGFIXEDINCOMESECURITIESANDINTERESTRATEOPTIONS(利率金融工程學)FALL2009A.Instructor:Dr.Son-NanChen(陳松男)Office:商學院261016E-mail:[e-mail]/Fax:[phone]Ext.81016/[phone]ClassHours:WednesdayPM:2:00~5:00OfficeHours:MonThruFriday8:00~9:30AMB.IntendedAudience:thesecond-yeargraduatestudent(Masterdegree)andPh.D.studentsinfinance(碩士及博士生)C.Books:1.Theprimarytextbook:利率金融工程學(InterestRatesModellingandOptionPricing)2.Thereferencebook:Interest-RateOptionModels:TheoryandPracticeAuthor:RiccardoRebonatoPublisher:JohnWiley&Sons(2006)D.CourseObjectives:Thiscoursewilllayoutthefoundationforfixedincomebasicsfromaunifiedtheoreticalapproachwhichisbasedonthearbitrage-freeoptionpricingmethodology.Thecoursewillexplainthearbitrage-freetermstructuremodelsthatarebeingemployedforpricinginterestratederivatives.TheemphasisisplacedonDepartmentofMoneyandBanking,CollegeofCommerce,NCCUDr.Son-NanChenSyllabus_BS_FinancialEngineeringandInnovationsIII_Dr.Son-NanChen2theHeath-Jarrow-Mortonmodel(HJM)anditsapplications.TheteachingmaterialsareaccessibletoMBAstudentsaswellasPh.D.studentsinfinancewithmathematicaldetails.TheLIBORmarketmodelprovidesanewapproachforpricingandhedgingfixedincomesecuritiesandinterestrateoptions,andisalreadybeingusedonWallStreettopriceandhedgenumeroustypesoffixedincomesecuritiesandinterestrateoptions.Computersoftwareprogramswillbeimplementedfromtimetotimetohelpthestudentsunderstandtheteachingmaterials,andtofamiliarizethestudentswiththetypesofprofessionalsoftwareusedonWallStreet.E.GradingPolicy:Mid-TermExamsTake-HomeTests(ifnecessary)FinalExamsExercisesF.Prerequisite:Abasiccorecourseinfinancesuchasfinancialmanagement,fixedincomesecuritiesorinvestments,andacorequantitativemethodscourse.CLASSSCHEDULENo.DateSubjectsandAssignments1.09/23Introduction2.09/30TradedSecurities3.10/07TheTermStructureofInterestRates4.10/14TheEvaluationoftheTermStructureofInterestRatesVasicek,CIR,Ho-Lee,Black-Derman-Toy,HJM,Hull&White,LIBOEmarketmodel(LMM)5.10/21ChangeofMeasuresandOptionPricing6.10/28BondTradingStrategies7.11/04ContingentClaimsValuation:Theory8.11/11CouponBondandOptions9.11/18Mid–TermExams10.11/25Swaps,Caps,Floors,andSwaptionsDepartmentofMoneyandBanking,CollegeofCommerce,NCCUDr.Son-NanChenSyllabus_BS_FinancialEngineeringandInnovationsIII_Dr.Son-NanChen311.12/02InterestRateExotics:In-AdvanceSwaps,In-AdvanceCaps/Floors,CMSandRatchet.12.12/09QuantoCap/Floor,QuantoSwapsandQuantoCMS13.12/16EquitySwaps,DifferentialSwapsandCross-Currencyswaps14.12/23CaseStudies:StructuredNotes15.12/30CaseStudies:StructuredNotes16.01/06Delta,GammaandBucketHedgingStrategies17.01/13FinalExams.