財務數學

Textbooks

1.     An Introduction to the Mathematics of Financial Derivatives, Neftci, 2nd ed., 2000,  Academic Press, 新陸

2.     細說Black-Scholes模型, 吳文峰&李詩政譯, 2005, 添金

3.     財務數學-隨機過程與衍生性金融商品評價, 陳達新, 2010, 雙葉

 

References:

1.          Options, Futures and Other Derivatives, Hull, 6th ed., 2005, Prentice Hall.

2.          Analysis of Financial Times Series, Tsay, 2nd ed., 2005, Wiley.

 

計分方式:期中考(30%),期末報告(40%),作業(30%

上課時間: 5~7

上課地點:綜合大樓Y101

周次

日期

計劃

1

2.22

2.22開學; 2.28放假

2

3.1

 

3

3.8

 

4

3.15

 

5

3.22

 

6

3.29

 

7

4.5

4.1~4.5 放假

8

4.12

 

9

4.19

期中考

10

4.26

 

11

5.3

 

12

5.10

 

13

5.17

 

14

5.24

 

15

5.31

 

16

6.7

 

17

6.14

6.16端午節

18

6.21

 

 

 

 

 

 

 

 

參考文章:

1.          Amin, K. and Ng, V., “Option Valuation with Systematic Stochastic Volatility,” Journal of Finance, 48, 881-910, 1993.

2.          Barndorff-Nielsen, O. E. and Shephard, N., “Non-Gaussian Ornstein-Uhlenbeck-based Models and Some of Their Uses in Financial Economics (with Discussion),” Journal of the Royal Statistical Society B, Series B, 63, 167-241, 2001.

3.          Black, F., “The Pricing of Commodity Contracts,” Journal of Financial Economics, 3, 167-179, 1976.

4.          Black, F. and Scholes, M. “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81, 637-654, 1973.

5.          Boyle, P. P., “Options: a Monte Carlo Approach,” Journal of Financial Econometrics, 4, 323-338, 1977.

6.          Brennan, M. J. and Schwartz, E. S., “The Valuation of the American Put Option,” Journal of Finance, 32, 449-462, 1977.

7.          Cox, J. “The Constant Elasticity of Variance Option Pricing Model,” Journal of Portfolio Management, 15-17, 1996.

8.          Cox, J. C. and Huang, C., “Optimal Consumption and Portfolio Polices When Asset Prices Follow a Diffusion Process,” Journal of Economic Theory, 49, 33-83, 1989.

9.          Cox, J. C., Ingersoll, J. E., and Ross, S., “The Relation between Forward Prices and Futures Prices,” Journal of Financial Economics, 9, 321-346, 1981.

10.      Cox, J. C. and Ross, S. A. “The Valuation of Options for Alternative Stochastic Processes,” Journal of Financial Economics, 3, 145-166, 1976.

11.      Cox, J. C., Ross, S. A., and Rubinstein, M. “Option Pricing: A Simplified Approach,” Journal of Financial Economics, 7, 229-263, 1979.

12.      Geske, R. and Johnson, H. E., “The American Put Valued Analytically,” Journal of Finance, 39, 1511-1524, 1984.

13.      Harrison, M. J. and Kreps, D. M., “Martingales and Arbitrage in Multiperiod Securities Markets,” Journal of Economic Theory, 29, 381-408, 1979.

14.      Harrison, M. J. and Pliska, S. R., “Martingales and Stochastic Integrals in the Theory of Continuous Trading,” Stochastic Processes and their Applications, 11, 215-260, 1981.

15.      Heston, S., “A Closed-Form Solution for Options with Stochastic Volatility with Application to Bond and Currency Options,” The Review of Financial Studies, 6, 327-343, 1993.

16.      Hull, J. and White, A., “The Pricing of Options with Stochastic Volatilities,” Journal of Finance, 42, 281-300, 1987.

17.      Hull, J. and White, A., “Pricing Interest Rate Derivatives Securities,” Review of Financial Studies, 3, 573-592, 1990.

18.      Jarrow, R. and Rudd, A., “Approximate Option Valuation for Arbitrary Stochastic Processes,” Journal of Financial Economics, 10, 347-369, 1982.

19.      Kon, S. J. “Models of Stocks Returns—A Comparison,” Journal of Finance, 39, 147-165, 1984.

20.      Madan, D., Milne, F., and Shefrin, H., “The Multinomial Option Pricing Model and Its Limitations,” Review of Financial Studies, 2, 251-265, 1989.

21.      Merton, R. “Option Pricing When Underlying Stock Returns Are Discontinuous,” Journal of Financial Economics, 3, 125-144, 1976.

22.      Merton, R. “An Intertemporal Capital Asset Pricing Model,” Econometrica, 41, 867-887, 1973.

23.      Rendleman, R. J. and Bartter, B. J., “Two-State Option Pricing,” Journal of Finance, 34, 1093-1110, 1979.

24.      Scott, L., “Option Pricing when the Variance Changes Randomly: Theory, Estimation, and An Application,” Journal of Finance and Quantitative Analysis, 22, 419-438, 1987.

25.      Smith, C. W., “Option Pricing: A Review,” Journal of Financial Economics, 3, 3-54, 1976.

26.      Stein, E. and Stein, J., “Stock Price Distributions with Stochastic Volatility,” Review of Financial Studies, 4, 727-752, 1991.