Course Syllabus

Course Information：

Year-Semester Course Number Course Name Phase Credits Hours Required/Elective Instructor Class Student NO. Withdraw Note

Spring Semester
Year 2026 357295 Numerical Methods in Finance 1 3.0 3 ★ Liu, Liang-chih GIFM 17 0 　

Year-Semester	Course Number	Course Name	Phase	Credits	Hours	Required/Elective	Instructor	Class	Student NO.	Withdraw	Note
Spring Semester Year 2026	357295	Numerical Methods in Finance	1	3.0	3	★	Liu, Liang-chih	GIFM	17	0

Course Plan：

Instructor Liu, Liang-chih　Office Hours

Email lcliu@ntut.edu.tw

Last Updated 2026-02-24 10:12:20

Course Objective 本課程將延續財務工程導論的內容，將持續在衍生性商品評價、避險以及風險控管等問題上繼續深入探討；本學期將把焦點放在股票衍生性商品與利率衍生性商品的評價與避險上，並利用C(或C++)和Matlab兩種工具來執行樹狀結構與蒙地卡羅法以評價選擇權與公司債的價值。 This course will still focus on the methods for bonds and derivatives pricing and hedging, such as the evaluation of stock and interest rate options. For implementation purposes associated with the concepts introduced, such as the tree structure, two programming languages for computation will be provided: C (or C++ ) and Matlab.

Course Schedule Week 1 : Course Introduction and Preliminary Week 2 : Fundamental Economic Features of Stock Options - 1 Week 3 : Fundamental Economic Features of Stock Options - 2 Week 4 : Functions and Their Applications - 1 Week 5 : Functions and Their Applications - 2 Week 6 : Introduction to Fundamental Option Pricing Theory - 1 Week 7 : Introduction to Fundamental Option Pricing Theory - 2 Week 8 : Introduction to Fundamental Option Pricing Theory - 3 Week 9 : Midterm Review and Exercise Week 10 : Tree Method and Extension of Option Pricing Theory - 1 Week 11 : Tree Method and Extension of Option Pricing Theory - 2 Week 12 : Tree Method and Extension of Option Pricing Theory - 3 Week 13 : Tree Method and Extension of Option Pricing Theory - 4 Week 14 : Monte Carlo Simulation and Option Pricing - 1 Week 15 : Monte Carlo Simulation and Option Pricing - 2 Week 16 : Monte Carlo Simulation and Option Pricing - 3 Week 17 : Take-Home Final Exam Week 18 : Course Review

Evaluation and grading policy Exercise: 50% Midterm Exercise: 10% Take-Home Final Exam: 40%

Materials All right reserved. Do not reproduce without permission.

Foreign-language textbooks:No
Use of self-made materials

The access to curricular consultation Tuesday 10:00~12:00 at Technical Building 433

Expanding teaching and resources ● 參與式創新教學 (Participatory & Innovative Teaching)
強調學生參與與產出，導入翻轉、PBL/專題、設計思考或遊戲化等策略。
Emphasizes student engagement and outcomes by adopting strategies such as Flipped Classroom, PBL (Problem/Project- Based Learning), Design Thinking, or Gamification.

The course corresponds to the SDGs SDG4：優質教育（Quality Education）

Does the course incorporate AI ● 鼓勵學生使用生成式AI工具（Encourage students to use generative AI tools）

Note
　

Instructor	Liu, Liang-chih　Office Hours
Email	lcliu@ntut.edu.tw
Last Updated	2026-02-24 10:12:20
Course Objective	本課程將延續財務工程導論的內容，將持續在衍生性商品評價、避險以及風險控管等問題上繼續深入探討；本學期將把焦點放在股票衍生性商品與利率衍生性商品的評價與避險上，並利用C(或C++)和Matlab兩種工具來執行樹狀結構與蒙地卡羅法以評價選擇權與公司債的價值。 This course will still focus on the methods for bonds and derivatives pricing and hedging, such as the evaluation of stock and interest rate options. For implementation purposes associated with the concepts introduced, such as the tree structure, two programming languages for computation will be provided: C (or C++ ) and Matlab.
Course Schedule	Week 1 : Course Introduction and Preliminary Week 2 : Fundamental Economic Features of Stock Options - 1 Week 3 : Fundamental Economic Features of Stock Options - 2 Week 4 : Functions and Their Applications - 1 Week 5 : Functions and Their Applications - 2 Week 6 : Introduction to Fundamental Option Pricing Theory - 1 Week 7 : Introduction to Fundamental Option Pricing Theory - 2 Week 8 : Introduction to Fundamental Option Pricing Theory - 3 Week 9 : Midterm Review and Exercise Week 10 : Tree Method and Extension of Option Pricing Theory - 1 Week 11 : Tree Method and Extension of Option Pricing Theory - 2 Week 12 : Tree Method and Extension of Option Pricing Theory - 3 Week 13 : Tree Method and Extension of Option Pricing Theory - 4 Week 14 : Monte Carlo Simulation and Option Pricing - 1 Week 15 : Monte Carlo Simulation and Option Pricing - 2 Week 16 : Monte Carlo Simulation and Option Pricing - 3 Week 17 : Take-Home Final Exam Week 18 : Course Review
Evaluation and grading policy	Exercise: 50% Midterm Exercise: 10% Take-Home Final Exam: 40%
Materials	All right reserved. Do not reproduce without permission. Foreign-language textbooks:No Use of self-made materials
The access to curricular consultation	Tuesday 10:00~12:00 at Technical Building 433
Expanding teaching and resources	● 參與式創新教學 (Participatory & Innovative Teaching) 強調學生參與與產出，導入翻轉、PBL/專題、設計思考或遊戲化等策略。 Emphasizes student engagement and outcomes by adopting strategies such as Flipped Classroom, PBL (Problem/Project- Based Learning), Design Thinking, or Gamification.
The course corresponds to the SDGs	SDG4：優質教育（Quality Education）
Does the course incorporate AI	● 鼓勵學生使用生成式AI工具（Encourage students to use generative AI tools）
Note