(利率金融工程学)

NATIONAL CHENGCHI UNIVERSITY

COLLEGE OF COMMERCE

DEPARTMENT OF MONEY AND BANKING

ADV ANCED TOPICS IN MODELLING FIXED INCOME SECURITIES AND INTEREST RATE OPTIONS

(利率金融工程學)

FALL 2009

A.Instructor: Dr. Son-Nan Chen(陳松男)

Office:商學院261016

E-mail:slchen@https://www.wendangku.net/doc/9216508570.html,.tw

Phone/Fax:(02)2939-3091 Ext.81016/(02)2939-8004

Class Hours: Wednesday PM:2:00~5:00

Office Hours: Mon Thru Friday 8:00~9:30 AM

B.Intended Audience: the second-year graduate student( Master degree) and

Ph. D. students in finance (碩士及博士生)

C.Books:

1.The primary textbook:

利率金融工程學

(Interest Rates Modelling and Option Pricing)

2.The reference book:

Interest-Rate Option Models: Theory and Practice

Author : Riccardo Rebonato

Publisher : John Wiley & Sons (2006)

D.Course Objectives:

This course will lay out the foundation for fixed income basics from a unified theoretical approach which is based on the arbitrage-free option pricing

methodology. The course will explain the arbitrage-free term structure models that are being employed for pricing interest rate derivatives. The emphasis is placed on

the Heath-Jarrow-Morton model (HJM) and its applications. The teaching

materials are accessible to MBA students as well as Ph. D. students in finance with mathematical details.

The LIBOR market model provides a new approach for pricing and hedging fixed income securities and interest rate options, and is already being used on Wall Street to price and hedge numerous types of fixed income securities and interest rate options.

Computer software programs will be implemented from time to time to help the students understand the teaching materials, and to familiarize the students with the types of professional software used on Wall Street.

E.Grading Policy:

Mid-Term Exams

Take-Home Tests(if necessary)

Final Exams

Exercises

F.Prerequisite:

A basic core course in finance such as financial management, fixed income

securities or investments , and a core quantitative methods course.

CLASS SCHEDULE

No. Date Subjects and Assignments

1. 09/23 Introduction

2. 09/30 Traded Securities

3. 10/07 The Term Structure of Interest Rates

4. 10/14 The Evaluation of the Term Structure of Interest Rates

Vasicek , CIR , Ho-Lee , Black-Derman-Toy, HJM,

Hull&White, LIBOE market model(LMM)

5. 10/21 Change of Measures and Option Pricing

6. 10/28 Bond Trading Strategies

7. 11/04 Contingent Claims Valuation: Theory

8. 11/11 Coupon Bond and Options

9. 11/18 Mid –Term Exams

10. 11/25 Swaps, Caps, Floors, and Swaptions

11. 12/02 Interest Rate Exotics : In-Advance Swaps, In-Advance

Caps/Floors, CMS and Ratchet.

12. 12/09 Quanto Cap/Floor, Quanto Swaps and Quanto CMS

13. 12/16 Equity Swaps , Differential Swaps and Cross-Currency swaps

14. 12/23 Case Studies : Structured Notes

15. 12/30 Case Studies : Structured Notes

16. 01/06 Delta , Gamma and Bucket Hedging Strategies

17. 01/13 Final Exams

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