國立中山大學 109學年度第1學期 課程教學大綱

National Sun Yat-sen University 109Academic year1st Semester Course syllabus

中文名稱
Course name(Chinese)

選擇權市場理論與策略

課號
Course Code

FM523

英文名稱
Course name(English)

OPTIONS MARKETS:THEORY AND STRATEGY

課程類別
Type of the course

講授類

必選修
Required/Selected

選修

系所
Dept./faculty

財務管理學系碩士班

授課教師
Instructor

鄭義    

學分
Credit

3

因應嚴重特殊傳染性肺炎(武漢肺炎),倘若後續需實施遠距授課,授課方式調整如下:

         同步遠距【透過網路直播技術,同時進行線上教學,得採Microsoft Teams、Adobe connect等軟體進行】
同步遠距含錄影【透過網路直播技術,同時進行線上教學並同時錄影,課程內容可擇日再重播,得採Microsoft Teams、Adobe connect等軟體進行】
非同步遠距【課堂錄影或錄製數位教材放置網路供學生可非同時進行線上學習,得採EverCam、PPT簡報錄影、錄音方式進行】
實作類課程,經評估無法採遠距課程教學,後續復課後密集補課

★遠距教學軟體操作說明連結

因應嚴重特殊傳染性肺炎(武漢肺炎),倘若後續需實施遠距授課,評分方式調整如下:

        
1.class participation10%
2.homework and assignments40%
3.midterm exam25%
4.final exam25%

課程大綱 Course syllabus

         本課程教學大綱已提供完整英文資訊(本選項僅供統計使用,未提供完整英文資訊者,得免勾記)【Provide information of course syllabus in English.(This is for statistical use only. For those who do not provide information of course syllabus in English, do not check this field.)】

This course aims to build foundations on options pricing methods. Various pricing techniques will be derived and elaborated throughout the semester. Theoretical and practical concerns in option pricing, product development, trading, and risk management will be emphasized. The workload from assignments and term project will be heavy.








課程目標 Objectives

         This course is designed to familiarize students with the academic and institutional developments of options trading with emphasis on the oldest and largest segment of the options markets, options on common stocks. Nonetheless, most of our conclusions reached in the context of stock options can be easily modified to apply to other types of options. The material used in the course consists of a textbook and some papers and articles. You should read the assigned material before class and come to class prepared to answer and discuss the questions in the text. You are also advised to read the financial pages of the newspapers on a regular basis.








授課方式 Teaching methods

         Lectures, discussion, group project presentation.








評分方式﹝評分標準及比例﹞Evaluation (Criteria and ratio)等第制單科成績對照表 letter grading reference

        
1.class participation10%
2.homework and assignments40%
3.midterm exam25%
4.final exam25%

參考書/教科書/閱讀文獻 Reference book/ textbook/ documents
〔請遵守智慧財產權觀念,不可非法影印。教師所提供之教材供學生本人自修學習使用,不得散播及做為商業用途〕
No copies for intellectual property rights. Textbooks provided by the instructor used only for self-study, can not broadcast or commercial use

        
序號作者書名出版社出版年出版地ISBN#
No.AutherTitlePublisherYear of
publish
Publisher
place
ISBN#
1Hull, JohnFutures, Options, and Other DerivativesPrentice Hall International2006--
2Cox, J. C., and M. RubinsteinOptions marketsPrentice-Hall Inc.1985--
3Gibson, RajnaOption Valuation: Analyzing and Pricing Standardized OptionMcGraw Hill1991--
4Ritchken, PeterTheory, Strategy, and ApplicationsScott, Foresman & Co.1987--
5Stoll, H. R., and R. E. WhaleyFutures and Options: Theory and ApplicationsSouth-Western Publishing Co.1993--

彈性暨自主學習規劃 Alternative learning periods

本門課程是否有規劃實施學生彈性或自主學習內容(每1學分2小時)
Is any alternative learning periods planned for this course (with each credit corresponding to two hours of activity)?
否:教師需於「每週課程內容及預計進度」填寫18週課程進度(每1學分18小時之正課內容)。
No:The instructor will include an 18-week course plan in the weekly scheduled progress (each credit corresponds to 18 hours of instruction)
是:教師需於「每週課程內容及預計進度」填寫16週課程內容(每1學分16小時之正課內容),並於下列欄位填寫每1學分2小時學生彈性或自主學習內容。
    Yes:The instructor will include a 16-week course plan in the weekly scheduled progress (each credit corresponds to 16 hours of instruction);the details of the planned alternative learning periods are provided below (each credit corresponds to two hours of activity).

學生彈性或自主學習活動
Alternative learning periods
勾選或填寫規劃內容
Place a check in the appropriate box or provide details
時數
Number of hours
學生分組實作及討論
Group work and discussion
參與課程相關作業、作品、實驗
Participation in course-related assignments, work, or experiments
參與校內外活動(研習營、工作坊、參訪)或競賽
Participation in on- or off-campus activities (e.g., seminars, workshops, and visits) or competitions
課外閱讀
Extracurricular reading
線上數位教材學習
Learning with online digital learning materials
其他(請填寫規劃內容)
Other (please provide details)

每週課程內容及預計進度 Weekly scheduled progress

        
週次日期授課內容及主題
WeekDateContent and topic
12020/09/06~2020/09/12Introduction
22020/09/13~2020/09/19Options basics
32020/09/20~2020/09/26Options markets
42020/09/27~2020/10/03Covered warrants business model; Assignment: Covered warrant issuance
52020/10/04~2020/10/10Options strategies and payoff diagrams; Assignment: From market outlook to ideal strategies
62020/10/11~2020/10/17Arbitrage bounds of options; Assignment: Search engine for misaligned option prices
72020/10/18~2020/10/24Stock price behavior and stochastic process
82020/10/25~2020/10/31Partial differential equation and risk neutral pricing; Assignment: Ito’s Lemma practices
92020/11/01~2020/11/07Midterm Exam
102020/11/08~2020/11/14The Black-Scholes model
112020/11/15~2020/11/21The Greek letters and risk management
122020/11/22~2020/11/28The Binomial model and trinomial model; Assignment: Option prices, risk parameters and their convergence check
132020/11/29~2020/12/05Monte Carlo simulation; Assignment: Option prices, risk parameters and their convergence check
142020/12/06~2020/12/12Exotic options
152020/12/13~2020/12/19Finite difference method; Assignment: Option prices, risk parameters and their convergence check
162020/12/20~2020/12/26Group project presentation
172020/12/27~2021/01/02Group project presentation
182021/01/03~2021/01/09Final Exam

課業討論時間 Office hours

         時段1 Time period 1:
時間 Time:星期二12:00~14:00
地點 Office/Laboratory:管CM4102
時段2 Time period 2:
時間 Time:星期四12:00~14:00
地點 Office/Laboratory:管CM4102

系所學生專業能力/全校學生基本素養與核心能力 basic disciplines and core capabilitics of the dcpartment and the university

        
系所學生專業能力/全校學生基本素養與核心能力
basic disciplines and core capabilities of the department and the university
課堂活動與評量方式
Class activities and evaluation
本課程欲培養之能力與素養 This course enables students to achieve.紙筆考試或測驗 Test.課堂討論︵含個案討論︶ Group discussion (case analysis).個人書面報告、作業、作品、實驗 Indivisual paper report/ assignment/ work or experiment.群組書面報告、作業、作品、實驗 Group paper report/ assignment/ work or experiment.個人口頭報告 Indivisual oral presentation.群組口頭報告 Group oral presentation.課程規劃之校外參訪及實習 Off-campus visit and intership.證照/檢定 License.參與課程規劃之校內外活動及競賽 Participate in off-campus/ on-campus activities and competitions.課外閱讀 Outside reading.
※系所學生專業能力 Basic disciplines and core capabilities of the department
1.財務倫理之能力與社會責任實踐 1. Financial ethics ability.           
2.國際觀之能力 2. Global perspective.           
3.解決財務問題之能力 3. Problem solving ability in Finance.VVVVV     V
4.溝通之能力 4. Communication skill.V    VV    
5.財務管理專業知識之能力 5. Expertise in Financial management.VVVVVVV   V
※全校學生基本素養與核心能力 Basic disciplines and core capabilities of the university
1.表達與溝通能力。 1. Articulation and communication skillsV    VV    
2.探究與批判思考能力。 2. Inquisitive and critical thinking abilities           
3.終身學習能力。 3. Lifelong learning           
4.倫理與社會責任。 4. Ethnics and social responsibility           
5.美感品味。 5. Aesthetic appreciation           
6.創造力。 6. Creativity           
7.全球視野。 7. Global perspectiveV VVVVV   V
8.合作與領導能力。 8. Team work and leadershipV   V V    
9.山海胸襟與自然情懷。 9. Broad-mindedness and the embrace of nature            

本課程與SDGs相關項目:The course relates to SDGs items:

         尚未建立SDGS資料

本課程校外實習資訊: This course is relevant to internship:

         本課程無註記包含校外實習

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