（金融保险）利率金融工程
学博硕合开
Interest Rate Modelling and Option Pricing
利率金融工程學(博碩合開)
I、Instructor: Dr. Son-Nan(陳松男)
ProfessorofFinancialEconomics
DepartmentofBankingandFinance.
NationalChengchiUniversity.
Director,CenterforResearchonFinancialEngineering
(財務工程研究中心主任)
CharteredSecurityAnalyst(台灣合格證券分析師)
(,
DepartmentofFinance,UniversityofMarylandatCollegePark)
Phone:(02)2939-3091Ext:81016;Fax02)2939-8004
II、Intended Audience:AllMS&(碩士及博士生)
III、Prerequisite:
1. Musthavecompleted“FinancialEngineeringandInnovationsI&II”
.
2. Knowledgeofdifferentialcalculusisamust.
3. AnIntroductoryMathematicalStatisticsisaprerequisite.
4. FinancialMathematicsandStochasticCalculus(inChinese,金融數
學與隨機微積分，陳松男著(新陸書局)。
IV、Course Objective:
Thecoursewilllayoutthefoundationforfixedincomebasicsfromaunifiedt
heoreticalapproachwhichisbasedonthearbitrage-freeoptionpricingmet
-freetermstructuremodels
albackground.
TheLIBORmarketmodelprovidesanewapproachforpricingandhedgingfixedi
ncomesecuritiesandinterestrateoptions,andhasalreadybeenusedinther
ealworldtopriceandhedgenumeroustypesoffixedincomesecurities.
Computersoftwareprogramswillbeimplementedfromtimetotimetohelpthes
tudentsunderstandtheteachingmaterials,andtofamiliarizethestudents
withthetypesofprofessionalsoftwareusedintherealworld.
The Textbooks:
1. Theprimarytextbook:
利率金融工程學
(InterestRatesModellingandOptionPricing,inChinese)
Publisher:Xing-LuBookCo.(2006).
2. Thereferencebook:
Interest-RateOptionModels:TheoryandPractice(inEnglish
)
Author:RiccardoRebonato
Publisher:JohnWiley&Sons(2006).
Course Contents:
1. ChangeofNumeraire,ChangeofProbabilityMeasureandOptionPricing.
2. Vasicek,CIR,Toy,HJM,Hull&White,Ho-Lee,Black-Derman,LIBORmarket
model(LMM).
3. Swaps,Caps,Floors,andSwaptons.
4. InterestRateExotics:In-AdvanceSwaps,In-AdvanceCaps/Floors,CMSa
ndRatchet.
5. QuantoCap/Floor,QuantoSwapsandQuantoCMS.
6. EquitySwapsinaLIBORMarketModel.
7. CrossCurrencyEquityswapsintheBGModel.
8. QuantoAverageInterestRateOptionsinaLognormalInterestRateMarket
Model.
9. AnalyticalValuationofBarrierInterestRateOptionsUnderMarketMode
ls.
.
:StructuredNotes.
,GammaandBucketHedgingStrategies.
Journal Articles:SeetheReferenceinthetextbook.
VIII、Performance Evaluation:
1. Mid-TermExam
2. FinalExam
3. ComputerExercise(Assignments)
4. othermeasures
