108年第2學期-6194 資產訂價 課程資訊

評分方式

評分項目	配分比例	說明
期中考	50	無
期末考	50	無

教育目標

This course will focus on utility function for different perspectives of investors. Also, we will learn portfolio theory and market efficient hypothesis. Moreover, derivatives securities will be provided and discussed.

課程概述

This course is designed to provide an in-depth analysis of derivatives. We will introduce four categories of financial derivatives: futures contracts, forward contracts, options and swaps, and focus on how these markets work, how they can be used, and what determines prices in them.

基本資料

選修課，學分數：0-3
上課時間：四/2,3,4[M428]
修課班級：統計博3
修課年級：年級以上
選課備註：

參考書目

Hull J. C., 2012, “Fundamentals of Futures and Options Markets”, Eighth Edition, Prentice-Hall, ISBN: 0273759078
Cochrane John H. Asset Pricing, 2005. [C,.]
Cuthbertson K., Nitzsche D. Quantitative Financial Economics [CN,.]
Hirshleifer J.Speculation and Equilibrium: Information, Risk, and
Markets. The Quarterly Journal of Economics, Vol. 89, No. 4 (Nov.,
1975), pp. 519-542 [Hi].
Hull John, C. Options, Futures and other Derivatives, 2009. [H,.]
Mas-Colell A. Whinston M.D., Green J.R. Microeconomic Theory,
1995. [MC,.]
Ross Levine. Finance and Growth: Theory and Evidence. [R,.]
Varian Hal R. Microeconomic Analysis, 1992. [V,.]