國立中山大學 110學年度第1學期 課程教學大綱
National Sun Yat-sen University 110Academic year1st Semester Course syllabus
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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
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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: |
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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: |
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1.class participation:10% 2.homework and assignments:40% 3.midterm exam:25% 4.final exam:25%
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課程大綱 Course syllabus |
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課程目標 Objectives |
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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.
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授課方式 Teaching methods |
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第一週上課將採Google Meet進行同步遠距課程,已選課學生請於以下連結進入: meet.google.com/zbr-pqdg-xye 本課程將以臉書社團作為平台,供同學提出問題及公告相關課程注意事項,請選上該課程的同學於以下連結進入社團: 臉書社團 https://www.facebook.com/groups/286580942897274?modal=false&should_open_composer=false&hoisted_section_header_type=notifications&show_migration_preparation_dialog=false&show_migration_onboarding_dialog=false 同時也會在中山網路大學理公告相關事宜,請同學留意。 非選課學生擬旁聽者,請於前述連結登入,並於Google Meet留言區留下學號姓名,並私訊助教以做為異常處理之參考。 私訊方式: howardman39@gmail.com 臉書名稱:HongHao Hugang中山財管所 Lectures, discussion, group project presentation.
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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
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1.class participation:10% 2.homework and assignments:40% 3.midterm exam:25% 4.final exam:25%
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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
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序號 | 作者 | 書名 | 出版社 | 出版年 | 出版地 | ISBN# | No. | Auther | Title | Publisher | Year of publish | Publisher place | ISBN# | 1 | Hull, John | Futures, Options, and Other Derivatives | Prentice Hall International | 2006 | - | - | 2 | Cox, J. C., and M. Rubinstein | Options markets | Prentice-Hall Inc. | 1985 | - | - | 3 | Gibson, Rajna | Option Valuation: Analyzing and Pricing Standardized Option | McGraw Hill | 1991 | - | - | 4 | Ritchken, Peter | Theory, Strategy, and Applications | Scott, Foresman & Co. | 1987 | - | - | 5 | Stoll, H. R., and R. E. Whaley | Futures and Options: Theory and Applications | South-Western Publishing Co. | 1993 | - | - |
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彈性暨自主學習規劃 Alternative learning periods
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每週課程內容及預計進度 Weekly scheduled progress |
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週次 | 日期 | 授課內容及主題 | Week | Date | Content and topic | 1 | 2021/09/19~2021/09/25 | Introduction | 2 | 2021/09/26~2021/10/02 | Options basics | 3 | 2021/10/03~2021/10/09 | Options markets | 4 | 2021/10/10~2021/10/16 | Covered warrants business model; Assignment: Covered warrant issuance | 5 | 2021/10/17~2021/10/23 | Options strategies and payoff diagrams; Assignment: From market outlook to ideal strategies | 6 | 2021/10/24~2021/10/30 | Arbitrage bounds of options; Assignment: Search engine for misaligned option prices | 7 | 2021/10/31~2021/11/06 | Stock price behavior and stochastic process | 8 | 2021/11/07~2021/11/13 | Partial differential equation and risk neutral pricing; Assignment: Ito’s Lemma practices | 9 | 2021/11/14~2021/11/20 | Midterm Exam | 10 | 2021/11/21~2021/11/27 | The Black-Scholes model | 11 | 2021/11/28~2021/12/04 | The Greek letters and risk management | 12 | 2021/12/05~2021/12/11 | The Binomial model and trinomial model; Assignment: Option prices, risk parameters and their convergence check | 13 | 2021/12/12~2021/12/18 | Monte Carlo simulation; Assignment: Option prices, risk parameters and their convergence check | 14 | 2021/12/19~2021/12/25 | Exotic options | 15 | 2021/12/26~2022/01/01 | Finite difference method; Assignment: Option prices, risk parameters and their convergence check | 16 | 2022/01/02~2022/01/08 | Group project presentation | 17 | 2022/01/09~2022/01/15 | Group project presentation | 18 | 2022/01/16~2022/01/22 | Final Exam |
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課業討論時間 Office hours |
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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
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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 |
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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. | V | V | V | V | V | | | | | | V | 3.解決財務問題之能力 3. Problem solving ability in Finance. | V | | | | | V | V | | | | | 4.溝通之能力 4. Communication skill. | V | V | V | V | V | V | V | | | | V | 5.財務管理專業知識之能力 5. Expertise in Financial management. | | | | | | | | | | | | ※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 skills | V | | | | | V | V | | | | | 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 perspective | V | | V | V | V | V | V | | | | V | 8.合作與領導能力。 8. Team work and leadership | V | | | | V | | V | | | | | 9.山海胸襟與自然情懷。 9. Broad-mindedness and the embrace of nature | | | | | | | | | | | |
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本課程與SDGs相關項目:The course relates to SDGs items: |
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本課程校外實習資訊: This course is relevant to internship: |
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