財務工程簡介課程大綱 

Unit 1: Introduction to Financial Engineering

Unit 2: Equivalent Martingale Measures and Risk-Neutral

           Pricing

Unit 3: Alternative Option Pricing Models

Unit 4: Term Structure Models of Interest Rates

Unit 5: Interest Rate Derivatives

Unit 6: Exotic Options

  • Asian Options: An option with a payoff dependent on the average price of  the underlying asset                                during a specified period.
  • Barrier Options: An option whose payoff depends on whether the path of  the underlying asset                                 has reached a barrier (i.e., a certain predetermined level).
  • Binary Options: Either a cash-or-nothing option or an asset-or-nothing option.
  • Black-Scholes Model: A model for pricing European options on stocks,  published by                                          Fischer Black and Myron Scholes in 1973.
  • Bond Options: An option in which a bond is the underlying assets.
  • (Interest Rate) Caps (Floors) : An option that provides a payoff when a  specified interest rate                              is above (below) a certain level.
  • Convertible Bonds: Corporate bond that can be converted into a predetermined amount of                                     the company's equity at certain times during its life.
  • Derivative: Instrument whose price depends on or is derived from the price of another asset.
  • Differential Swaps: Swap in which a floating rate in one currency is exchanged for                                          a floating rate in another currency, with both rates being applied to  the same principal.
  • Equity Swaps: Swap in which return on an equity portfolio is exchanged for either a fixed or                              a floating rate of interest.
  • Hedge: A trade designed to reduce risk.
  • Interest Rate Swaps: An exchange of a fixed rate of interest on a certain notional principal                             from floating rate of interest on the same notional principal.
  • Lookback Options: Option whose payoff depends on the maximum or minimum of                                           the asset price achieved during a certain period.
  • Option: The right to buy or sell an asset.
  • Swaptions: Option to enter into an interest-rate swap in which a specified fixed rate is                                      exchanged for a floating rate.
  • Term Structure: Curve relating interest rates to maturity.
  • Transaction Cost: Cost of carrying out a trade. (Equal to commissions plus the difference                              between the price obtained and the midpoint of  the bid-offer spread.)
  • Volatility: Measure of the uncertainty of the return realized on an asset.
  • Vasicek, O.A.  (1977).  An Equilibrium Characterization of the Term Structure,  J. of Financial                     Economics 5 177-188.
  • Cox, J.C., J.E. Ingersoll, and Ross, S.A. (!985)  A Theory of the Term Structure  of Interest Rates,                Econometrica 53 385-407.
  • Ho, T.S.Y. and Lee, S.B. (1986)  Term Structure Movements and Pricing Interest Rate Contingent                 Claims, J. of Finance 41 1011-1029.
  • Heath, D., Jarrow, R. and Morton, A (1990) Bond Pricing and the Term Structure of Interest Rates:               A Discrete Time Approximation,  Journal of Financial and Quantitative Analysis 25 419-440.
  • Heath, D., Jarrow, R. and Morton, A (1992) Bond Pricing and the Term Structure of the Interest Rates:         A New Methodology, Econometrica 60 77-105.
  • Hull, J.C. and White, A. (1990)  Pricing Interest Rate Derivative Securities,   Review of Financial               Studies 3 573-592.
  • Black,F., Derman, E. and Toy, W. (1990) A One-Factor Model of Interest Rates and Its Application             to Treasury Bond Options, Financial Analysts Journal   33-39.
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