赫尔期权期货及其他衍生产品第8版复习笔记及课后习题详解(90).docx

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1、ADVANCmDff1VATVESDescriptionThiscoursebui1dsonthemateria1coveredinOptionsandFuturesMarkets.Itisintendedforstudentswhohaveaquantitativebackgroundandareinterestedinenhancingtheirknow1edgeofthewayinwhichderivativescanbeana1yzed.RequiredReadingsHu11,JohnC.Options,Futures,andOtherDerivatives,9fhEditionHu

2、11,JohnC.So1utionsManua1forOptions,Futures,andOtherDerivatives,yEditionAssignmentsTherearethreehand-inassignmentsduringthesemester:Assignment1:14.13,14.14,14.16,15.27,15.29,21.26,21.28,21.30(dueweek5)Assignment2:20.25,27.20,27.22,25.24,25.29,26.26,26.27,26.28,27.23(dueweek10)Assignment3:28.16,28.17,

3、29.23,29.25,30.11,31.24,31.28,32.14(dueweek14)AssessmentAssignment115%Assignment215%Assignment320%Fina1Exam50%Thefina1examinationwi11notbeopenbook.Youwi11bepermittedatwo-sided*4cheatsheet*withnotesand/orformu1ae.Schedu1eWeek1:Week2:Introduction;WienerProcessesand1to,s1emma;Chapter14TheB1ack-Scho1esd

4、ifferentia1equation;Chapter15(espSection15.6)Week3-4:Numerica1procedures:Binomia1andtrinomia1trees;MonteCar1osimu1ation;Week5:finitedifferencemethods;Chapter21A1ternativestoB1ack-Scho1es;Chapter20(review)andSections27.1to27.3Week6-7:Creditderivatives;Section24.2andChapter25Week8-9:Exoticoptionsandtheirva1uation;Chapter26andSections27.4to27.8Week10:Week14:Week15:Martinga1esandmeasures;Chapter28Interestratederivatives;Chapters29-32Swapsrevisited;Chapter33Coursereview;Chapter36