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 12 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	12	0

Course Plan：

Instructor Liu, Liang-chih　Office Hours

Email lcliu@ntut.edu.tw

Last Updated 2025-12-16 16:04:26

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 1. Course Preview 2. Fundamental Theory of Stock Options-1 3. Fundamental Theory of Stock Options-2 4. Fundamental Theory of Stock Options-3 5. Function and Fundamental Pricing Theory-1 6. Function and Fundamental Pricing Theory-2 7. Function and Fundamental Pricing Theory-3 8. Function and Fundamental Pricing Theory-4 9. Fundamental Pricing Theory and Tree-1 10. Fundamental Pricing Theory and Tree-2 11. Fundamental Pricing Theory and Tree-3 12. Fundamental Pricing Theory and Tree-4 13. Option Pricing and Structural Credit Risk Model-1 14. Option Pricing and Structural Credit Risk Model-2 15. Monte Carlo Simulation-1 16. Monte Carlo Simulation-2 17. Monte Carlo Simulation-3 18. Course Review

Evaluation and grading policy Homework: 70% Take-Home Final Exam: 30%

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

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	2025-12-16 16:04:26
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	1. Course Preview 2. Fundamental Theory of Stock Options-1 3. Fundamental Theory of Stock Options-2 4. Fundamental Theory of Stock Options-3 5. Function and Fundamental Pricing Theory-1 6. Function and Fundamental Pricing Theory-2 7. Function and Fundamental Pricing Theory-3 8. Function and Fundamental Pricing Theory-4 9. Fundamental Pricing Theory and Tree-1 10. Fundamental Pricing Theory and Tree-2 11. Fundamental Pricing Theory and Tree-3 12. Fundamental Pricing Theory and Tree-4 13. Option Pricing and Structural Credit Risk Model-1 14. Option Pricing and Structural Credit Risk Model-2 15. Monte Carlo Simulation-1 16. Monte Carlo Simulation-2 17. Monte Carlo Simulation-3 18. Course Review
Evaluation and grading policy	Homework: 70% Take-Home Final Exam: 30%
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
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