110年第2學期-6193 固定收益商品及訂價 課程資訊

評分方式

評分項目	配分比例	說明
Mid-Term Exam	50
Final Exam	50

教育目標

Fixed-income securities are financial products providing periodic interests or coupons. Their risk and return are governed by the level of interest rates and default risks of issuers. Students who take this course should understand this financial products and measure their risk and return. Their hedging instruments should also be studied.

課程概述

本課程探討固定收益商品的介紹及訂價行為模式。 前者包含固定收商品的種類及其衍生性商品，如信用違約衍生性商品，房貸證券商品等。後者將談到利率模型， 如Vasicek, CIR, HJM, LIBOR market 模型等, 這些模型分為均衡模型及無套利模型等。

基本資料

選修課，學分數：0-3
上課時間：五/2,3,4[M428]
修課班級：統計博5
修課年級：年級以上
選課備註：

參考書目

Fabozzi, F. J., The Handbook of Fixed Income Securities. 2001, McGraw-Hill, New York, ISBN0-07-135805-6.