利率金融工程学博硕合开

1InterestRateModellingandOptionPricing利率金融工程學(博碩合開)I、Instructor:Dr.Son-Nan(陳松男)ProfessorofFinancialEconomicsDepartmentofBankingandFinance.NationalChengchiUniversity.Director,CenterforResearchonFinancialEngineering(財務工程研究中心主任)CharteredSecurityAnalyst(台灣合格證券分析師)(FormerProfessorandDirectorofthePh.D.programinFinance,DepartmentofFinance,UniversityofMarylandatCollegePark)Phone:[phone]Ext:81016;Fax02)2939-8004II、IntendedAudience:AllMS&Ph.D.students(碩士及博士生)III、Prerequisite:1.Musthavecompleted“FinancialEngineeringandInnovationsI&II”.2.Knowledgeofdifferentialcalculusisamust.3.AnIntroductoryMathematicalStatisticsisaprerequisite.4.FinancialMathematicsandStochasticCalculus(inChinese,金融數學與隨機微積分，陳松男著(新陸書局)。IV、CourseObjective:Thecoursewilllayoutthefoundationforfixedincomebasicsfromaunifiedtheoreticalapproachwhichisbasedonthearbitrage-freeoptionpricingmethodology.Thecoursewillexplainthearbitrage-freetermstructuremodelsthatarebeingemployedforpricinginterestratederivatives.Theemphasisisplacedontheoryandpracticalapplications.TheteachingmaterialsareaccessibletoMSstudentsaswellasPh.D.studentsinfinancewithmathematicalbackground.TheLIBORmarketmodelprovidesanewapproachforpricingandhedgingfixedincomesecuritiesandinterestrateoptions,andhasalreadybeenusedintherealworldtopriceandhedgenumeroustypesoffixedincomesecurities.Computersoftwareprogramswillbeimplementedfromtimetotimetohelpthestudentsunderstandtheteachingmaterials,andtofamiliarizethestudentswiththetypesofprofessionalsoftwareusedintherealworld.2TheTextbooks:1.Theprimarytextbook:利率金融工程學(InterestRatesModellingandOptionPricing,inChinese)Publisher:Xing-LuBookCo.(2006).2.Thereferencebook:Interest-RateOptionModels:TheoryandPractice(inEnglish)Author:RiccardoRebonatoPublisher:JohnWiley&Sons(2006).CourseContents:1.ChangeofNumeraire,ChangeofProbabilityMeasureandOptionPricing.2.Vasicek,CIR,Toy,HJM,Hull&White,Ho-Lee,Black-Derman,LIBORmarketmodel(LMM).3.Swaps,Caps,Floors,andSwaptons.4.InterestRateExotics:In-AdvanceSwaps,In-AdvanceCaps/Floors,CMSandRatchet.5.QuantoCap/Floor,QuantoSwapsandQuantoCMS.6.EquitySwapsinaLIBORMarketModel.7.CrossCurrencyEquityswapsintheBGModel.8.QuantoAverageInterestRateOptionsinaLognormalInterestRateMarketModel.9.AnalyticalValuationofBarrierInterestRateOptionsUnderMarketModels.10.ValuationofFloatingRangeNotesinaLIBORMarketModel.11.CaseStudies:StructuredNotes.12.Delta,GammaandBucketHedgingStrategies.JournalArticles:SeetheReferenceinthetextbook.VIII、PerformanceEvaluation:1.Mid-TermExam2.FinalExam3.ComputerExercise(Assignments)4.othermeasures