| 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
|
1
|
Pricing of Bonds: Introduction
|
Calin Ch.1,2 |
2
|
Measuring Yield, Term Structure of Interest Rates
|
Calin Ch.1,2 ; Veronesi Ch.1, 2 |
3
|
Advanced Interest Rate Risk Management
|
Veronesi Ch.1, 2
|
4
|
Convexity and Curvature
|
Veronesi Ch.4
|
5
|
One Step Binomial Trees
|
Veronesi Ch.9
|
6
|
Multi-Step Binomial Trees
|
Veronesi Ch.10
|
7
|
Risk Neutral Trees and Derivative Pricing
|
Veronesi Ch.11
|
8
|
Stochastic Calculus
|
Calin Ch 2,3,
|
9
|
Mid-Term Exam
|
|
10
|
Stochastic Calculus
|
Calin Ch.4,5,6
|
11
|
Stochastic Calculus
|
Calin Ch. 7,8 |
12
|
Interest Model in Continuous Time
|
Brigo and Mercurio Ch 2.3; Veronesi Ch.14
|
13
|
No Arbitrage and the Pricing of Interest Rate Securities
|
Brigo and Mercurio Ch 2.3; Veronesi Ch.15
|
14
|
Introduction to Risk Neutral Pricing and Monte Carlo Simulations
|
Veronesi Ch.17
|
15
|
The Risk and Return of Interest Rate Securities
|
Veronesi Ch.18
|
16
|
Final exam
|
|
17
|
Self-study week
|
|
18
|
Self-study week
|
|
|
| Teaching Methods |
|
| Teaching Assistant |
|
| Requirement/Grading |
Students will be graded as follows:
- Four Assignments: 40% of the total grade
- Closed-Book Midterm Exam: 20% of the total grade
- Closed-Book Final Exam: 40% of the total grade
|
| Textbook & Reference |
- Brigo, D., & Mercurio, F. (2006). Interest Rate Models: Theory and Practice.
- Fabozzi, F. J. (2013). Bond Markets, Analysis, and Strategies, 8th Edition.
- Ovidiu Calin (2015). An Informal Introduction to Stochastic Calculus with Applications
- Veronesi, P. (2010). Fixed Income Securities: Valuation, Risk, and Risk Management, 1st Edition.
|
| Urls about Course |
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| Attachment |
|