利率金融工程学.doc

NATIONAL CHENGCHI UNIVERSITYCOLLEGE OF COMMERCEDEPARTMENT OF MONEY AND BANKINGADVANCED TOPICS IN MODELLING FIXED INCOME SECURITIES AND INTEREST RATE OPTIONS(利率金融工程學)FALL 2009A. Instructor: Dr. Son-Nan Chen(陳松男)Office:商學院261016E-mail:.twPhone/Fax:(02)2939-3091 Ext.81016/(02)2939-8004Class Hours: Wednesday PM:2:005:00Office Hours: Mon Thru Friday 8:009:30 AMB. Intended Audience: the second-year graduate student( Master degree) and Ph. D. students in finance (碩士及博士生)C. Books:1. The primary textbook:利率金融工程學 (Interest Rates Modelling and Option Pricing)2. The reference book:Interest-Rate Option Models: Theory and Practice Author : Riccardo Rebonato Publisher : John Wiley & Sons (2006) D. Course Objectives:This course will lay out the foundation for fixed income basics from a unified theoretical approach which is based on the arbitrage-free option pricing methodology. The course will explain the arbitrage-free term structure models that are being employed for pricing interest rate derivatives. The emphasis is placed on the Heath-Jarrow-Morton model (HJM) and its applications. The teaching materials are accessible to MBA students as well as Ph. D. students in finance with mathematical details.The LIBOR market model provides a new approach for pricing and hedging fixed income securities and interest rate options, and is already being used on Wall Street to price and hedge numerous types of fixed income securities and interest rate options.Computer software programs will be implemented from time to time to help the students understand the teaching materials, and to familiarize the students with the types of professional software used on Wall Street.E. Grading Policy:Mid-Term ExamsTake-Home Tests(if necessary)Final ExamsExercisesF. Prerequisite:A basic core course in finance such as financial management, fixed income securities or investments , and a core quantitative methods course.CLASS SCHEDULENo. Date Subjects and Assignments1. 09/23 Introduction2. 09/30 Traded Securities3. 10/07 The Term Structure of Interest Rates4. 10/14 The Evaluation of the Term Structure of Interest Rates Vasicek , CIR , Ho-Lee , Black-Derman-Toy, HJM, Hull&White, LIBOE market model(LMM)5. 10/21 Change of Measures and Option Pricing6. 10/28 Bond Trading Strategies7. 11/04 Contingent Claims Valuation: Theory8. 11/11 Coupon Bond and Options9. 11/18 Mid Term Exams10. 11/25 Swaps, Caps, Floors, and Swaptions11. 12/02 Interest Rate Exotics : In-Advance Swaps, In-Advance Caps/Floors, CMS and Ratchet.12. 12/09 Quanto Cap/Floor, Quanto Swaps and Quanto CMS13. 12/16 Equity Swaps , Differential Swaps and Cross-Currency swaps14. 12/23 Case Studies