SemesterFall Semester, 2019
DepartmentMA Program of Finance, First Year
Course NameFinancial Derivatives
InstructorYUEH MENG-LAN
Credit3.0
Course TypeRequired
Prerequisite
Course Objective
Course Description
Course Schedule






























































































































































週次



Week



課程主題



Topic



課程內容與指定閱讀



Content and Reading Assignment



教學活動與作業



Teaching Activities and Homework



學習投入時間



Student workload expectation



課堂講授



In-class Hours



課程前後



Outside-of-class Hours



1



Introduction to Derivatives



ch.1



HW1



2 hrs



1.5 hrs



2



Forward Contracts: Types of Contracts: FX Forwards, FRA



ch.3, ch.6



HW2



3 hrs



2.5 hrs



3



Forward Contracts: Forward Hedging Strategies



ch.6



HW3



3 hrs



2 hrs



4











Future Contracts: Principles of Pricing Futures


 


ch.3, 4



HW4



3 hrs



3 hrs



5



Future Contracts:



Futures Hedging Strategies



ch.5



HW5


     2 hrs

3 hrs



6



Options Markets and Option Trading Strategy



ch.7



HW6


     2 hrs

3 hrs



7



Properties of Option Prices



ch.9, 10



 



 



 



8



Option Pricing (i): Binomial Tree Pricing Model



ch.11, 12, 13



HW7



2.5 hrs



3 hrs



9



Mid-Term Exam



 



 



 



 



10



Option Pricing (ii): Black/Schole Model



ch.14



HW8



3 hrs



4 hrs



11



The Mathematics of Black/Scholes



ch.15



HW9



3 hrs



4 hrs



12



Option Greeks



ch.17



HW10



3 hrs



4 hrs



13



Exotic Options



ch.18, 19



HW11



3 hrs



3 hrs



14



Interest Rate Swaps



ch.23



HW12



3 hrs



4 hrs



15



Equity Swaps and Currency Swaps



ch.24, ch.25



HW13



3 hrs



3 hrs



16



Credit Default Swaps



ch.31



HW14



2 hrs



3 hrs



17



study week



 



 



 



18



Final-Term Exam



 



 



 



 



Teaching Methods
Teaching Assistant

NA


Requirement/Grading

Grades in this course will be based on group presentations, in-class discussions, and exams. Supplementary readings related to specific topics covered in the class will be assigned for either class



discussion/presentation.



There will be a mid-term exam (optional) and a final exam. Both exams will be scheduled in the regular exam period. The exams will be open-book, and will be cumulative. No make-up exams are



permitted.



Grades will be computed by averaging scores with the following weights:



 - class participation and homework presentation 30%



 - mid-term exam 30%



 - final exam 40%


Textbook & Reference

1. Sundaram, Rangarajan K., and Sanjiv Ranjan Das., Derivatives: principles and practice, 2nd



edition, McGraw-Hill International, 2016.



2. Some journal articles and HBS cases will be assigned as supplementary and additional materials during the semester.


Urls about Course
NA
Attachment