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1、InterestRateModellingandOptionPricing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
2、析師)(FormerProfessorandDirectorofthePh.D.programinFinance,DepartmentofFinance,UniversityofMarylandatCollegePark)Phone:(02)2939-3091Ext:81016;FaxL02)2939-8004II、IntendedAudience:AllMS&Ph.D.students(碩士及博士生)III、Prerequisite:1.Musthavecompleted“FinancialEnginee
3、ringandInnovationsI&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:Thecoursewilllayoutthefoundationforfixedin
4、comebasicsfromaunifiedtheoreticalapproachwhichisbasedonthearbitrage-freeoptionpricingmethodology.Thecoursewillexplainthearbitrage-freetermstructuremodelsthatarebeingemployedforpricinginterestratederivatives.Theemphasisisplacedontheoryandpracticalapplicatio
5、ns.TheteachingmaterialsareaccessibletoMSstudentsaswellasPh.D.studentsinfinancewithmathematicalbackground.TheLIBORmarketmodelprovidesanewapproachforpricingandhedgingfixedincomesecuritiesandinterestrateoptions,andhasalreadybeenusedintherealworldtopriceandhed
6、genumeroustypesoffixedincomesecurities.Computersoftwareprogramswillbeimplementedfromtimetotimetohelpthestudentsunderstandtheteachingmaterials,andtofamiliarizethestudentswiththetypesofprofessionalsoftwareusedintherealworld.2TheTextbooks:1.Theprimarytextbook
7、: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,Chang
8、eofProbabilityMeasureandOptionPricing.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,CMS
