NATIONAL CHENGCHI UNIVERSITY
COLLEGE OF COMMERCE
DEPARTMENT OF MONEY AND BANKING
ADVANCED TOPICS IN MODELLING FIXED INCOME
SECURITIES AND INTEREST RATE OPTIONS
(利率金融工程學)
FALL
A. Instructor： Dr. Son-Nan Chen(陳松男) Office:商學院261016 E-mail:
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 ()
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
利率金融重点工程学
