課程編碼 Course Code | 中文課程名稱 Course Name (Chinese) | 英文課程名稱 Course Name (English) | 總學分數 Credits | 總時數 Hours |
---|---|---|---|---|
AB03042 | 財務工程與金融計算(二) | Financial Engineering and Computing(II) | 3.0 | 3 |
中文概述 Chinese Description | 本課程將延續財務工程與金融計算(一)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(1) 樹狀結構 (2) 蒙地卡羅法 以評價選擇權的價值。 | |||
英文概述 English Description | This course will still focus on the methods for 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 and Monte Carlo simulation, two programming languages for computation will be provided: C (or C++ ) and Matlab. |
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