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financial-engineering's Introduction

Financial-Engineering

About Me

  • Name: Chien-Hung Lin (林建鋐)
  • Student ID: B05705018
  • Department: Information Management
  • School: National Taiwan University

About the Course

  • Instructor: Yun-Cheng Tsai
  • Department: Economics
  • Semester: Spring, 2020
Week Topics Homework
1 Time value of money, bonds, mortgages, and annuities hw1
2 Duration, convexity, and immunization
3 The yield curve, forward rate, and spot rate hw2
4 Option pricing theory and its wide-ranging applications
5 The combinatorics of random walks hw3
6 Martingale, Brownian motion, stochastic calculus, and Ito integral
7 Risk-neutral valuation hw4
8 Risk management
9 Fixed-income securities with embedded options and interest rate derivatives hw5
10 Mortgage-backed securities (MBS)
11 Numerical methods - Monte Carlo methods
12 (Midterm Exam)
13 Numerical methods - Quasi-Monte Carlo method
14 Numerical methods - Solving partial differential equations
15 Numerical methods - Yield curve fitting
16 (Final Exam)
17 GARCH models
18 Interest rate models and calibration

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