一、課程說明(Course Desc<x>ription)
<br>本課程以討論衍生性金融商品定價的實證問題，以Matlab, Gauss 及 VBA 軟體作為資產定價
<br>計算之工具，將從衍生性金融商品有精確解(exact solution)模型談起，進而探討數值解
<br>(numerical solution)之模型，其中包括樹型圖解(tree)、蒙第卡羅法(Monte Carlo)以及有
<br>限差分法(finite difference)。討論的模型從基本的Black-Schole、CRR、Exotic option以
<br>及利率模型等。
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<br> 二、指定用書(Text Books)
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<br>Lyuu,Y.D. Financial Engineering & Computation: Principles, Mathematics, 
<br>Algorithms, 2002, Cambridge University Press.
<br>Brandimarte, Paolo, Numerical Methods in Finance, 2002, Wiley Interscience 
<br>Publication. (滄海書局進口)
<br>Hull, John, Options, Futures, and Other Derivatives, 5th Edition, 2003, 
<br>Prentice Hall. (雙葉書局進口)
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<br> 三、參考書籍(References)
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<br>Tavella, Domingo, Quantitative Methods in Derivatives Pricing: An 
<br>Introduction 
<br>to Computational Finance, 2002, Wiley.
<br>Wilmott, Paul, Paul Wilmott Introduces Quantitative Finance, 2001, John 
<br>Wiley
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<br> 四、教學方式(Teaching Method)
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<br>Lecture
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<br> 五、教學進度(Syllabus)
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<br>1.Exact solution: European (Black&Schole、Merton、Garman&Kohlhage、Black)
<br>2.Binomial Tree: CRR(European、American、Asian)
<br>3.Greek Analysis: Delta, Gamma, Theta, Vega, Rho
<br>4.VaR
<br>5.Monte Carlo: Exotic option、Look-back option
<br>6.Yield curve: Nelson&Siegel
<br>7.Finite Difference: Varsicek
<br>8.Interest Model: CIR、Ho&Lee、Hull&White(Trinomial Tree)、BDT、HJM
<br>9.Jump model: Merton
<br>10.Approximate: Markov Chain、Quadratic
<br>11.Information lecture: Implicit volatility、skewness premium、risk neutral 
<br>density
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<br> 六、成績考核(Evaluation)
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<br>平時作業與上課參與 20 %   期中考 30 %     期末報告 50 % 
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<br> 七、可連結之網頁位址
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<br>採用下列何項 AI 使用規則 (Indicate which of the following options you use to 
<br>manage student use of the AI)
<br>　(1)完全開放使用且無須註明 Unrestricted use with no disclosure required
<br>