9702 金融所碩士班
Fu Jen Catholic University
2008- 2009
Department / Code
Graduate Institute of Finance / 7562
(開課單位/單位代碼)
Course Code
16981
(課程代碼)
Credit
F
S
(學分數)
0
3
Course Name
Cases Study in Financial Engineering
(課程名稱)
財務工程個案
Course Objectives
Introduces the conceptual framework and historical background of financial
engineering to highlight the dynamic and persistent nature of financial innovation.
Emphasis is placed on developing financial problem solving skills in a multi-faceted
and changing business environment, such as lowering costs of raising capital,
managing risk exposure, exploiting arbitrage opportunities, and coping with shifts in
tax and regulatory regimes.
(課程目標)
Prerequisites
(先修課程)
Course Materials
(課程教材)
Options and Futures
Mason, Scott P., Robert C. Merton, Andre F. Perold, and Peter Tufano, Cases in Financial
Engineering, Prentice-Hall Inc., 1995.
Neftci, Salih N., and Fame, Principles of Financial Engineering, Elsevier Academic Press,
2004.
Reference
(參考書目)
Other Cases: Credit-linked investment contract, guaranteed cumulative perpetual
preferred securities, CMO, taxation on innovative financial instruments.
課堂之前測(Pre-test)
Evaluation
(評量方式)
%
課堂參與(Class Participation)
40%
期中考(筆試)(Midterm Test)
%
心得/作業撰寫(Assignment)
%
課堂後測/期末考(筆試)(Final Test)
%
專題發表(Presentation)
%
學生表現側寫報告(Profile Report)
%
課堂上實作演練(Role Playing)
%
個別面試或口試(Oral Exam)
(教學方法)
Course Web
(課程網頁)
30%
課堂中的隨堂測試(Quiz)
個案分析報告撰寫(Case Report)
Pedagogical Methods
% 期末報告/論文撰述(Team Paper/Theses Writing)
30%
%
專業團體之證照檢定(Certification)
%
其他(Others)
%
講授(Lecture)
競賽讀書會(Study Group)
個案教學(Case Study)
專題實作(Seminar on Field Research)
電子教學(e-Learning)
產業實習(Internship)
體驗教學(Project Adventure)
服務學習實作(Service Learning)
角色扮演實境教學(Role Playing)
自主學習(Independent Study)
企業競賽遊戲(Business Simulation Game)
對話教學法(Dialogue Teaching)
管理電影(Theater Learning)
其他
Week
Date
Topic
1
2/17
Introduction
2
2/24
Financial innovation and the financial system
3
3/3
Securities innovations: A historical and functional
perspective
4
3/10
Continue
5
3/17
Arbitrage: U.S. Government Debt Market, Cougars,
Arbitrage in the Government Bond Market, Coca-Cola
Harmless Warrants
6
3/24
Continue
7
3/31
Taxes, regulation and accounting stimuli (debt): Citicorp,
Schroders’ perpetual floating-rate note exchange offer,
Metromedia Broadcasting Corporation.
8
4/7
Securitization: Travelers mortgage securities CMO,
American Express TRS charge-card receivables, Lehman
Brothers’ securitization pricing and distribution.
Course Outline
(課程大綱進度)
9
4/14
Continue
(期中考週)
10
4/21
Information asymmetry: Contingent claims analysis, Arley
Merchandise Corporation, Avon Products, Inc., Alza and
Bio-Electro Systems.
11
4/28
Taxes, regulation and accounting stimuli (equity): ARPPS,
MMP, Waste Management, Inc.
12
5/5
Continue
13
5/12
Managing issuers’ exposures: Interest rate derivatives,
Currency swaps, B.F. Goodrich-Rabobank interest rate swap,
Walt Disney’s yen financing, Liability Management at
General Motors.
14
5/19
Continue
15
5/26
Managing investors’ exposures: An investment linked to
commodity futures, Shearson Lehman Hutton’s covered
warrant business, Nikkei put warrants, LOB portfolio
insurance & SuperTrust
16
6/2
Continue 應屆畢業生期末考週
Contribution to
全人教育
做中學
Mission
(Holistic Education)
(Learning by doing)
(本課程與管理學院
人本價值
整合資源
創新知識
國際視野
使命之關係)
(Human-centric values)
(Resource integration)
(Innovative knowledge)
(International view)
掌握投入之專業知識內涵並能建立起一套學習及研究的方法。
Each student should be able to recognize the appropriate methods and procedures of research pertaining to
their area of specialization. This learning goal is met through the completion of their thesis projects.
Contribution to
learning goals：
management college
(本課程能達成開課
單位的哪些目標-院)
能整合理論與實務，提升各種組織之績效。
Each student should be able to integrate theory and practical applications to increase the productivity of
organizations. This learning goal is met through the course embedded exams.
拓展國際視野與觀點，提升其國際化能力。
Each student should be able to expand their global perspectives to adapt to internationalization. This learning
goal is met through the course embedded exams.
善用現代資訊科技於資源之統整與應用。
Each student should be able to capitalize on modern information technology in the integration and use of
resources. This learning goal is met through the course embedded exams.
建立正確的專業倫理與人本價值觀念並應用於專業的決策中。
Each student should be able to recognize professional ethics and human-centric values, and be able to apply
them in professional decision-making. This learning goal is met through the course embedded exams.
完備財務金融理論之訓練及提升對金融市場與商品之了解。
Contribution to
learning goals:
Graduate Institute of
Finance
(本課程能達成開課
單位的哪些目標-所)
Each student should be able to possess comprehensive financial theories and
understand the financial market and its products. This learning goal is met through the course
embedded exams.
提高對研究方法流程之熟稔度及各研究工具之操作能力。
Each student should be able to understand research methodologies and processes, and the ability to apply
research tools. This learning goal is met through the thesis writing.
培養理論與實務之整合能力。
Each student should be able to integrate theory and practice. This learning goal is met through projects.
激發關心時事及國際趨勢發展的習慣與態度。
Each student should be aware of current events and international development trends. This learning goal is met
through the case studies.
培育邏輯分析與金融問題解決的能力。
Each student should be able to possess abilities in analytical thinking and problem solving. This learning goal is
met through thesis writing.
David M. Chen
陳明道
E-mail: 003924@mails.fju.edu.tw
Phone: 29052783
Instructor
(老師資料)
Office Hour: Monday 2-4 & Wednesday 2-4
Room: SL422