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國立東華大學企業管理學系

九十七學年度第一學期博士班課程

隨機過程與決策研究教學網頁

上課時段:星期三18:10-21:00

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	09/17	Introduction
2	09/24	Syllabus Lecture 1
3	10/01	Discrete Pricing Models (I) 1. Discrete Multi-period Models 2. Binomial Trees Lecture 2
4	10/08	Discrete Pricing Models (II) 1.Risk Neutral Measures 2. Discrete Martingales Lecture 3-4
5	10/15	Continuous Stochastic Calculus (I) 1. Wiener Process (Brownian Motion) 2. Ito Integral and Ito Formula 3. Girsanov Formula Lecture 6 Lecture 10
6	10/22	Continuous Stochastic Calculus (II) 1. Continuous Time Martingales 2. Martingale Representation Theorem 3. Ito Processes and PDEs Lecture 5
7	10/29	Black--Scholes Theory (I) 1. Arbitrage Pricing 2. Black--Scholes Formulae Lecture 7
8	11/05	Black--Scholes Theory (II) 1.Risk Neutral Measures 2. Numeraire Invariance 3. Market Completeness
9	11/12	Extensions of the Black-Sholes theory 1. Barrier Options 2. Currency Options Lecture 8 Lecture 9
10	11/19	Mid-Term Paper (No Class)
11	11/26	Stochastic Processes and Applications (1) Note-1 Note-2
12	12/03	Stochastic Processes and Applications(2) Note-3 Note-4
13	12/10	Stochastic Processesand Applications (3) Note-5 Note-6 Note-7
14	12/17	Real Options Approach (1) Paper Reading: International Business Fields To be announced
15	12/24	Real Options Approach (2) Paper Reading: International Business Fields To be announced
16	12/31	Game Options Approach (1) Paper Reading: International Business Fields To be announced
17	01/07	Game Options Approach (2) Paper Reading: International Business Fields To be announced
18	01/13	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.提供隨機過程在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