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國立東華大學企業管理學系

九十六學年度第一學期博士班課程

國際投資計量模式教學網頁

上課時段:星期二14:10-17:00

 

Course Name: The Quantitative Modeling of Intentional Investment 

Total credits: 3　　 Weekly classroom hours: 3

Department: BA                Class Room:

Is this course a semester Course?　Yes   elective Course?  Yes

 

Week

Unit

Points to be covered

1

 09/18

Syllabus

Lecture 1

2

 09/25 National Holiday

(No Class)

3

 10/02 Discrete Pricing Models (I)

1. Discrete Multi-period Models

2. Binomial Trees

Lecture 2

4

 10/09 Discrete Pricing Models (II)

1.Risk Neutral Measures

2. Discrete Martingales

Lecture 3-4

5

 10/16 Continuous Stochastic Calculus (I)

1. Wiener Process (Brownian Motion)

2. Ito Integral and Ito Formula

3. Girsanov Formula

Lecture 6  Lecture 10

6

 10/23 Continuous Stochastic Calculus (II)

1. Continuous Time Martingales

2. Martingale Representation Theorem

3. Ito Processes and PDEs

Lecture 5

7

 10/30 Black--Scholes Theory (I)

1. Arbitrage Pricing

2. Black--Scholes Formulae

Lecture 7

8

 11/06 Black--Scholes Theory (II)

1.Risk Neutral Measures

2. Numeraire Invariance

3. Market Completeness

9

 11/13 Extensions of the Black-Sholes theory

1. Barrier Options

2. Currency Options

Lecture 8   Lecture 9

10

 11/20

Mid-Term Paper

(No Class)

11

 11/27

Stochastic Processes and Applications (1)

Note-1  Note-2

12

 12/04

Stochastic Processes and Applications(2)

Note-3  Note-4

13

 12/11

Stochastic Processesand Applications (3)

 Note-5  Note-6  Note-7

14

 12/18 Real Options Approach (1)

Paper Reading:  International Business Fields

To be announced

15

 12/25 Real Options Approach (2)

Paper Reading: International Business Fields

To be announced

16

 01/01 National Holiday

(No Class)

17

 01/08 Game Options Approach

Paper Reading:  International Business Fields

To be announced

18

 01/15

Final Paper

(No Class)

 Note: Some contents refer and cite from the website of Prof. S. Lalley,

only educational and research purposes for use, acknowledgement for Prof. Lalley. 

附註: 本課程參考 Professor Steve Lalley 網頁內容,相關內容均為教學研究之用,僅此致謝.
　

http://galton.uchicago.edu/~lalley/Courses/390/index.html

　

Professor Steve Lalley
E-mail: lalley@galton.uchicago.edu

　

Note: Some contents refer and cite from the website of Prof. Marco Antonio Guimarães Dias,

only educational and research purposes for use, acknowledgement for Prof. Dias. 

附註: 本課程參考 Professor Marco Antonio Guimarães Dias 網頁內容,相關內容均為教學研究之用,僅此致謝.

　

http://www.puc-rio.br/marco.ind/

　

教學目標:

1.提供博士生在於國際 財務管理與投資決策評估相關領域之基本數量方法介紹

2.此等研究方法之 論文研讀(國際投資等相關議題)

3.提供研究生論文撰寫之量化研究法學習

　

教學方式:

教學投影片內容報告與演練,結果分析與探討

論文研讀與討論

　

Recommended Books:

S. Neftci . Introduction to the Mathematics of Financial Derivatives

J. C. Hull . Options, Futures, and Other Derivatives

Darrell Duffie (1996). Dynamic Asset Pricing Theory (2nd or later edition). Princeton U. Press.

J. M. Steele . Stochastic Calculus and Financial Applications

P. Billingsley . Probability and Measure

　

評分標準:

課堂報告 40%

作業演練 40%

出席率 20%

　

Office Hours:

    星期四中午9:00-12:00

Research Room:

    共B322/ Phone: 8633051 or 內線3051

e-mail:

    tjlin@mail.ndhu.edu.tw

    tyronelin@gmail.com

web site:

    http://www.ndhu.edu.tw/~tyrone/index.html