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
|
Overview of the derivatives market
|
Lecture notes;
OFOD Ch1
|
|
3
|
6
|
2
|
Forward, futures, and hedging strategies
|
Lecture notes;
OFOD Ch2, 3
|
|
3
|
6
|
3
|
Pricing of forward and futures
|
Lecture notes;
OFOD Ch5
|
|
3
|
6
|
4
|
Put-call parity and option price bounds
|
Lecture notes;
OFOD Ch11
|
|
3
|
6
|
5
|
Option trading strategies
|
Lecture notes; Python; OFOD Ch 12
|
|
3
|
6
|
6
|
Binomial option pricing
|
Lecture notes;
OFOD Ch13
|
|
3
|
6
|
7
|
Applications of binomial option pricing
|
Lecture notes; Python; OFOD Ch13
|
|
3
|
6
|
8
|
Midterm examination
|
|
|
3
|
6
|
9
|
Review of mathematics and statistics
|
Lecture notes
|
|
3
|
6
|
10
|
Ito's lemma and stochastic differential equations
|
Lecture notes;
OFOD Ch14
|
|
3
|
6
|
11
|
Black-Scholes-Merton model
|
Lecture notes;
OFOD Ch15
|
|
3
|
6
|
12
|
Hedging and option Greeks
|
Lecture notes; Python; OFOD Ch19
|
|
3
|
6
|
13
|
Numerical methods in pricing derivatives
|
Lecture notes; Python; OFOD Ch21
|
|
3
|
6
|
14
|
Exotic options
|
Lecture notes; Python
OFOD Ch26, 27
|
|
3
|
6
|
15
|
Implied volatility and volatility surface
|
Lecture notes; Python
OFOD Ch20
|
|
3
|
6
|
16
|
Additional topics (online)
|
|
|
3
|
6
|
17
|
Revision
|
Capstone self-learning
|
|
3
|
6
|
18
|
Final examination
|
|
|
3
|
6
|