TSMC台積205 TaTbTc
課程說明: 計算金融可視為現代金融理論的主要實踐方法,它針對不同的應用問題發展出特定的演算法,其中有些屬於古典,有些則具研發的性質。本課 程兼具金融研究與實務,介紹並定義相關的計算金融問題,探討適當的數值方法(含AI/ML, GPU, Quantum等),再輔以實際財經資料加以驗 證數學模型。 課程主軸包括 金融工程 (FE, Financial Engineering) 金融科技 (FT, Financial Technology) 去中心化金融 (DeFi, Decentralized Finance) 量子金融 (Quantum Finance) 初探;相關的數值演算法將會加以介紹。
Course keywords: 金融衍生品,定價,避險,投組優化,深度學習,financial derivatives, pricing, hedging, portfolio optimization, deep learning 課程說明: 計算金融可視為現代金融理論的主要實踐方法,它針對不同的應用問題發展出特定的演算法,其中有些屬於古典, 有些則具研發的性質。本課程兼具金融研究與實務,介紹並定義相關的計算金融問題,探討適當的數值方法(含 AI/ML, GPU, Quantum等),再輔以實際財經資料加以驗證數學模型。 課程主軸包括 金融工程 (FE, Financial Engineering) 金融科技 (FT, Financial Technology) 去中心化金融 (DeFi, Decentralized Finance) 量子金融 (Quantum Finance) 初探;相關的數值演算法將會加以介紹。 參考教科書: ETF 量化投資學,韓傳祥,五南書局, 2021年。(第3版正改版中) 金融隨機計算,韓傳祥,新陸書局, 2012年。 亦會提供上課補充講義 Course Topics include but not limited to: Modern Portfolio Theory Mean-variance Model, and Black-Litterman Model ETFs as Quantitative Investment passive ETFs such as general and leverage/inversion ETFs, thematic ETFs such as ESG AI Robo Advisor as Fintech’s Investment Management feature engineering, AI prediction models, Robo Advisor Hedging Strategies portfolio insurance, hedging by futures and options Miscellaneous: Risk Management, Digital Assets Tail risk estimation (VaR/CVaR), systemic risk, stock tokenization Previous Syllabus in this course Introduction to programming languages such as Matlab, Python Robo Advisor Machine learning How to calculate implied volatility How to solve for Black-Scholes PDE How to calculate VaR/CVaR Extent to systemic risk GPU Acceleration - Parallel Computing Pricing exotic options Advanced financial modeling(Stochastic volatility models, Levy processes) 評分標準:Homework Assignment: 25 %,Midterm Report: 20%, Final Report: 40%,General Participation: 15%. 可連結之網頁位址 http://mx.nthu.edu.tw/~chhan/ http://my.nthu.edu.tw/~finteck/CFLab.html https://www.stockfeel.com.tw/author/QFFERS/
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