課程名稱 
金融市場與衍生性商品 Financial Market and Derivatives 
開課學期 
1101 
授課對象 
社會科學院 經濟學研究所 
授課教師 
吳儀玲 
課號 
ECON5050 
課程識別碼 
323EU6930 
班次 

學分 
3.0 
全/半年 
半年 
必/選修 
選修 
上課時間 
星期四2,3,4(9:10~12:10) 
上課地點 
社科502 
備註 
本課程以英語授課。 限學士班三年級以上 或 限碩士班以上 或 限博士班 總人數上限：140人 
Ceiba 課程網頁 
http://ceiba.ntu.edu.tw/1101ECON5050_ 
課程簡介影片 

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課程概述 
The course provides a broad overview of the fields of derivatives and financial market. It is
divided in three parts. Part I is devoted to the basic knowledge of bonds and stocks and valuation
of forwards and futures.
After that, in Part II, we turn to the problem of option valuation. We first deal with simple
no arbitrage restrictions that can be imposed on the price of European and American call and
put options. These are the slope and convexity restrictions, useful bounds that are modelfree.
We then cover in detail the Binomial Option pricing Model. This part of the course is
fundamental in everything that follows. It contains the two main concepts in what concerns
derivatives valuation: the concept of dynamic replication and the principle of risk neutral
valuation. Once the Binomial Option Pricing Model is well understood the transition to the
BlackScholes Model is rather straightforward. Finally, we dwell in an important empirical flaw
of the BlackScholes Model, the volatility smile. We study the consequences of this important
empirical regularity for option valuation. We then cover one important applications of option
valuation: the valuation of corporate securities.
Part III, the last part of the course, is devoted to fixed income derivatives valuation. We
study the valuation of swap contracts, the futures on interest rate and then options on interest
rate. 
課程目標 
D. GRADING
1. Weekly Problem sets
a. The problem sets from Hull’s textbook and other sources will be assigned on a
weekly basis during the semester. The main purpose of the problem sets is to
increase your understanding of the material and to help you prepare for the
exams.
b. The problem sets will not be collected and graded. The problem sets and
solutions will be posted on the blackboard.
2. Three sets of Homework
a. You are permitted to discuss homework sets with other students.
b. You are to ONLINE submit your own solutions which may represent a
synthesis of personal analysis and discussions with others.
c. Homework sets are due at the beginning of class (Pm 1:10) as indicated in the
schedule and no late homework sets are accepted and will be given a grade of
0%.
d. Solutions will be posted on the CEIBA after the due date.
3. Quizzes
a. The 5minute quizzes are closed book, but you are permitted to bring a
calculator.
b. There will in general not be any makeups for the quizzes.
c. There will be around 2 quizzes. If you miss only one quiz, it will count as your
lowest score and be dropped.
d. Solutions will be posted on the CEIBA and will be discussed on the next class.
4. Midterm and Final Exam
a. A typical exam format would include a mixture of quantitative and qualitative
problems and questions covering lecture notes, text chapters and assignments.
b. The examination is closed book, but you are permitted to bring a calculator and
a "crib sheet" with notes and/or formulae. You may use two sides of an 81/2x11
page.
c. Exams are scheduled according to school so that you can plan around these
dates. Please do not ask to be excused from exams as makeup is rarely given.
d. If you want to submit a regrade request, please do it within one week after the
graded exam is handed back to do so. You have to hand back (1) your exam
and (2) a brief memo detailing your concerns. The exam will be regraded in
full.

課程要求 
F. GRADING
1. Weekly Problem sets
a. The problem sets from Hull’s textbook and other sources will be assigned on a weekly basis during the semester. The main purpose of the problem sets is to increase your understanding of the material and to help you prepare for the exams.
b. The problem sets will not be collected and graded. The problem sets and solutions will be posted on the blackboard.
2. Three sets of Homework
a. You are permitted to discuss homework sets with other students.
b. You are to ONLINE submit your own solutions which may represent a synthesis of personal analysis and discussions with others.
c. Homework sets are due at the beginning of class (Pm 1:10) as indicated in the schedule and no late homework sets are accepted and will be given a grade of 0%.
d. Solutions will be posted on the CEIBA after the due date.
3. Quizzes
a. The 5minute quizzes are closed book, but you are permitted to bring a calculator.
b. There will in general not be any makeups for the quizzes.
c. There will be around 3 to 4 quizzes. If you miss only one quiz, it will count as your lowest score and be dropped.
d. Solutions will be posted on the CEIBA and will be discussed on the next class.
4. Midterm and Final Exam
a. A typical exam format would include a mixture of quantitative and qualitative problems and questions covering lecture notes, text chapters and assignments.
b. The examination is closed book, but you are permitted to bring a calculator and a "crib sheet" with notes and/or formulae. You may use two sides of an 81/2x11 page.
c. Exams are scheduled according to school so that you can plan around these dates. Please do not ask to be excused from exams as makeup is rarely given.
d. If you want to submit a regrade request, please do it within one week after the graded exam is handed back to do so. You have to hand back (1) your exam and (2) a brief memo detailing your concerns. The exam will be regraded in full.
5. Grade Structure
a. Midterm 35%
b. Final 35%
c. 3 Homework 20%
d. 4 Quizzes 10%
e. As you can see from the grade distribution, you have to work hard THROUGHOUT the course in order to receive a good grade.

預期每週課後學習時數 

Office Hours 

指定閱讀 
Textbook: Derivatives Markets, Pearson, 2013, by Robert L McDonald,
Third Edition, ISBN 0321847822 
參考書目 
Textbook: Derivatives Markets, Pearson, 2013, by Robert L McDonald,
Third Edition, ISBN 0321847822 
評量方式 (僅供參考) 

週次 
日期 
單元主題 
第1週 

Lecture Note 1: Introduction to Derivatives Securities 
第2週 

Lecture Note 2: Stock Market and Mutual Funds, Hedge Funds, and Pension Funds 
第3週 

Lecture Note 3: Risk Management with Forward and Futures 
第4週 

Lecture Note 4: Determination of Financial Forward and Futures Prices 
第5週 

Lecture Note 5: Determination of Commodity Forward and Futures Prices 
第6週 

Lecture 6: An Introduction to Options 
第8週 

Lecture 7: Trading Strategies Involving Options 
第9週 

Lecture 8: PutCall Parity and Other Option Relationships 
第10週 

Lecture 9 Binomial Option Pricing 
第11週 

Lecture 10 The BlackScholes Formula 
第12週 

Lecture 11 The Greek Letters 
第13週 

Lecture 12 Volatility Smiles 
第14週 

Lecture 13 Using Option Pricing Theory to Value Corporate Securities 
第15週 

Lecture Note 14: Term Structure 
第16週 

Lecture 15 Swaps 
第18週 

QUIZ 3 
第20週 

Final exam solution 
第21週 

Homework 3 Solution 
第00週 

Table of the Standard Normal Cumulative Distribution Function 
第00週 

Test bank solutions 
第01週 

Syllabus 
第01週 

Syllabus 
第02週 

John Hull書籍的pdf版本 
第03週 

金融衍生性商品市場的書籍的pdf版本 
第04週 

John Hull書籍的Solution manual pdf版本 
第05週 

金融衍生性商品市場的書籍的Solution Manual pdf file 
第52週 

QUIZ 1 
第53週 

Homework 1 Solution 
第92週 

QUIZ 2 
第93週 

Homework 2 Solution 
第104週 

Midterm Examination 
第105週 

Midterm exam solution 
第106週 

Practice Midterm examine and its solution 
第111週 

QUIZ 3 
第170週 

2021 Final exam must know materials 
第171週 

2021 Practice final exam 
