Derivatives (Derivative Products and Risk Management)
中文課名：衍生性金融商品
授課教師：陳釗而
研究室：台大國際政經學院忠興館
Course Description
This course examines a broad range of derivative products and discusses how risks are managed by the middle office of a financial institution.
Course Objective
At the end of the course, students should (a) be familiar with most of the products that they are likely to encounter in financial markets, and (b) understand how market risk and credit risk is quantified by banks and other financial institutions.
Course Outline
Week 1: Options and the Options Market
Chapters 1.5, 10, 11, and 12 – Options; Mechanics of Options Markets; Properties of Stock Options; Trading Strategies Involving Options
Week 2: Tools
Chapters 13 and 14 – Binomial Trees; Wiener Processes and Ito’s Lemma
Week 3: Standard Products and Models
Chapters 15, 17, and 18 – The Black-Scholes-Merton Model; Options on Stock Indices and Currencies; Futures Options and Black’s Model
Week 4: Greek Letters and Volatility Smiles
Chapters 19 and 20 – The Greek Letters; Volatility Smiles and Volatility Surfaces
Week 5: Binomial Trees (review) and Monte Carlo Simulation
Chapter 21.1 to 21.7 – Basic Numerical Procedures
Week 6: Exotic Options
Chapter 26 – Exotic Options
Week 7: Value at Risk
Chapter 22 – Value at Risk and Expected Shortfall
Week 8 – Estimating Volatilities and Correlations
Chapter 23: Estimating Volatilities and Correlations
Week 9: Credit Risk
Chapter 24 – Credit Risk
Week 10: Credit Derivatives
Chapter 25 – Credit Derivatives
Week 11: Bond Options and Convertibles
Sections 27.4 and 29.1
Week 12: European Interest Rate Options
Sections, 29.2 to 29.4 – Interest Rate Derivatives: The Standard Market Models
Week 13: Industry Professional Guest Lectures (業界專業專題演講)
Week 14: Nonstandard Swaps
Chapter 34 – Swaps Revisited
Week 15: Energy and Commodity Derivatives
Chapter 35 – Energy and Commodity Derivatives
Week 16: Real Options; Risk and Return; Review of Course
Chapter 36 and 37 – Real Options; Derivatives Mishaps and What We Can Learn from Them
Required Readings
Hull, John C. Options, Futures, and Other Derivatives, 11th Edition
Assessment
There are three hand-in assignments during the semester:
Assignment 1 (15%): (due week 5)
Assignment 2 (15%): (due week 10)
Assignment 3 (15%): (due week 15)
Final Exam (55%)
The final examination will not be open book. You will be permitted a two-sided “cheat sheet” with notes and/or formulae.
Jauer 