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1、1/3 NATIONALCHENGCHIUNIVERSITY COLLEGE OF MERCE DEPARTMENT OF MONEY AND BANKING ADVANCED TOPICS IN MODELLING FIXED INE SECURITIES AND INTEREST RATE OPTIONS()FALL2009 A.Instructor:Dr.Son-Nan Chen()Office:261016:slchennccu.edu.tw Phone/Fax:(02)2939-3091 Ext.81016/(02)2939-8004 Class Hours:Wednesday PM
2、:2:005:00 Office Hours:Mon Thru Friday 8:009:30 AM B.Intended Audience:the second-year graduate student(Master degree)and Ph.D.students in finance()C.Books:1.The primary textbook:(Interest Rates Modelling and Option Pricing)2.The reference book:Interest-Rate Option Models:Theory and Practice Author:
3、Riccardo Rebonato Publisher:John Wiley&Sons(2006)D.Course Objectives:This course will lay out the foundation for fixed ine 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
4、are being employed for pricing interest rate derivatives.The emphasis is placed on 2/3 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 appr
5、oach for pricing and hedging fixed ine securities and interest rate options,and is already being used on Wall Street to price and hedge numerous types of fixed ine securities and interest rate options.puter software programs will be implemented from time to time to help the students understand the t
6、eaching 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 ine securities or investme
7、nts,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,LIB
8、OE 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 9.11/18Mid Term Exams 10.11/25 Swaps,Caps,Floors,and Swaptions 3/3 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.