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國立東華大學國際企業學系

九十七學年度第一學期碩士班課程

國際投資計量模式教學網頁

上課時段:星期二18:10-21:00

Course Name: The Quantitative Modeling of Intentional Investment

Total credits: 3　　 Weekly classroom hours: 3

Department: IB Class Room:

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

Week	Unit	Points to be covered
1	09/16	No Class
2	09/23	Syllabus Lecture 1
3	09/30	Discrete Pricing Models (I) 1. Discrete Multi-period Models 2. Binomial Trees Lecture 2
4	10/07	Discrete Pricing Models (II) 1.Risk Neutral Measures 2. Discrete Martingales Lecture 3-4
5	10/14	Continuous Stochastic Calculus (I) 1. Wiener Process (Brownian Motion) 2. Ito Integral and Ito Formula 3. Girsanov Formula Lecture 6 Lecture 10
6	10/21	Continuous Stochastic Calculus (II) 1. Continuous Time Martingales 2. Martingale Representation Theorem 3. Ito Processes and PDEs Lecture 5
7	10/28	Black--Scholes Theory (I) 1. Arbitrage Pricing 2. Black--Scholes Formulae Lecture 7
8	11/11	Black--Scholes Theory (II) 1.Risk Neutral Measures 2. Numeraire Invariance 3. Market Completeness
9	11/08	Extensions of the Black-Sholes theory 1. Barrier Options 2. Currency Options Lecture 8 Lecture 9
10	11/25	Mid-Term Paper (No Class)
11	11/21	Stochastic Processes and Applications (1) Note-1 Note-2
12	12/09	Stochastic Processes and Applications(2) Note-3 Note-4
13	12/05	Stochastic Processesand Applications (3) Note-5 Note-6 Note-7
14	12/16	Real Options Approach (1) Paper Reading: International Business Fields To be announced
15	12/23	Real Options Approach (2) Paper Reading: International Business Fields To be announced
16	12/30	Game Options Approach (1) Paper Reading: International Business Fields To be announced
17	01/06	Game Options Approach (2) Paper Reading: International Business Fields To be announced
18	01/12	Term Paper (Final) (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.提供碩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

web site:

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