(利率金融工程学)

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1、DepartmentofMoneyandBanking,CollegeofCommerce,NCCUDr.Son-NanChenNATIONALCHENGCHIUNIVERSITYCOLLEGEOFCOMMERCEDEPARTMENTOFMONEYANDBANKINGADVANCEDTOPICSINMODELLINGFIXEDINCOMESECURITIESANDINTERESTRATEOPTIONS(利率金融工程學)FALL2009A.Instructor:Dr.Son-NanChen(陳松男)Office

2、:商學院261016E-mail:slchen@nccu.edu.twPhone/Fax:(02)2939-3091Ext.81016/(02)2939-8004ClassHours: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.The

3、primarytextbook:利率金融工程學(InterestRatesModellingandOptionPricing)2.Thereferencebook:Interest-RateOptionModels:TheoryandPracticeAuthor:RiccardoRebonatoPublisher:JohnWiley&Sons(2006)D.CourseObjectives:Thiscoursewilllayoutthefoundationforfixedincomebasicsfromaun

4、ifiedtheoreticalapproachwhichisbasedonthearbitrage-freeoptionpricingmethodology.Thecoursewillexplainthearbitrage-freetermstructuremodelsthatarebeingemployedforpricinginterestratederivatives.Theemphasisisplacedon3Syllabus_BS_FinancialEngineeringandInnovation

5、sIII_Dr.Son-NanChenDepartmentofMoneyandBanking,CollegeofCommerce,NCCUDr.Son-NanChentheHeath-Jarrow-Mortonmodel(HJM)anditsapplications.TheteachingmaterialsareaccessibletoMBAstudentsaswellasPh.D.studentsinfinancewithmathematicaldetails.TheLIBORmarketmodelprov

6、idesanewapproachforpricingandhedgingfixedincomesecuritiesandinterestrateoptions,andisalreadybeingusedonWallStreettopriceandhedgenumeroustypesoffixedincomesecuritiesandinterestrateoptions.Computersoftwareprogramswillbeimplementedfromtimetotimetohelpthestuden

7、tsunderstandtheteachingmaterials,andtofamiliarizethestudentswiththetypesofprofessionalsoftwareusedonWallStreet.A.GradingPolicy:Mid-TermExamsTake-HomeTests(ifnecessary)FinalExamsExercisesB.Prerequisite:Abasiccorecourseinfinancesuchasfinancialmanagement,fixed

8、incomesecuritiesorinvestments,andacorequantitativemethodscourse.CLASSSCHEDULENo.DateSubjectsandAssignments1.09/23Introduction2.09/30TradedSecurities3.10/07TheTermStructureofInterestRates4.10/14TheEvalu