金融數學   (89年度 上學期)

(1) Aim: Because of the rapid development of the derivative securities markets in the world, financial mathematics has become a very important branch in both academic institutions and financial sectors. This course plans to provide basic mathematical knowledge for derivative securities pricing and risk management. (2) Prerequisite: - Calculus, Ordinary Differential Equations. - No knowledge on Finance is required. - It would be better, though not necessary, if you know some basic Probability and Partial Differential Equations. But this is not required.

(1) Text Book: The Mathematics of Financial Derivatives, by Paul Wilmott, Sam Howison, and Jeff Dewynne, Cambridge University Press. (2) Reference book: Options, Futures and other Derivatives, by John C. Hull, third edition, Prentice Hall.

Homeworks or Projects 50% , Final Reports 50%