---
title: CM526 Derivative Securities
tags: finance, financial engineering
---

<center>

# **CM526 Derivative Securities<br>衍生性金融商品**<br><img src=https://hackmd.io/_uploads/rkW1WV69xg.png height=100/>

:::info
Location: R60208
Time: 14:10 ~ 17:00, Tuesday
:::

</center>

<p style="text-align: right;">
<img src=https://hackmd.io/_uploads/S1xxivDw9.jpg height=300/>
</p>

<p style="text-align: right">
``I will remember that I didn't make the world, and it doesn't<br>satisfy my equations. Though I will use the models I or others<br>create to boldly <font color = "red"><b>estimate</b></font> value, I will always look over my shoulder<br>and never forget that the model is not the world.''<br>-- <a href = "https://www.engineering.columbia.edu/faculty-staff/directory/emanuel-derman">Emanuel Derman</a>
</p>

<p style="text-align: right">
``The best quantitative finance brings real insight<br>into the relation between <font color = "red"><b>value</b></font> and <font color = "red"><b>uncertainty</b></font>, and it<br>approaches the quality of real science; the worst is a<br>pseudoscientific hodgepodge of complex mathematics used<br>with obscure justification.''<br>-- Emanuel Derman
</p>

<p style="text-align: right">
    ``Risk comes from not knowing what you're doing.''<br>-- Warren Buffett
</p>

## **Class Information**

### Instructor
- Name: [盧政良](https://hackmd.io/@arthurzllu/yzu_homepage) (Zheng-Liang Lu, Arthur)
- Email address: [e-mail]
- Title example: [CM526] WHAT YOU WANT TO DO IN SHORT; for example, [CM526] HW1.
- I assume that your Chinese name or, at least, your student ID should be found in the email.
- Office hours: 12:00 ~ 13:00, Friday <font size = -1 color = "gray">Will be available at R60307 or my office R60714.</font>
- TA: [Juliana Moiseeva]([e-mail])

### Objectives

This course aims to help students deeply understand the role of derivative financial products in the financial market by integrating theory with practice. Furthermore, it seeks to enable students to apply financial engineering techniques and knowledge to realize financial innovation.

Upon completion of this course, students will be able to achieve the following academic achievements:
- Define, price, and hedge various derivative financial products, including futures, options, interest rate products, and structured notes.
- Perform financial computations by writing code, utilizing techniques such as numerical methods, Monte Carlo simulations, binomial option pricing models (BOPM), and model calibration.
- Apply AI tools for effective problem-solving.

> Keywords: Derivatives, Pricing, Risk Management, Financial Engineering, Futures, Options, Swaps, Interest Rate, Bond, Volatility

### Prerequisites
- Basic understanding about financial markets and financial products.
- College-level financial mathematics: ++Calculus++, ++Linear Algebra++, ++Probability++, ++Statistics++, ++Stochastic Process++, ++Stochastic Differential Equation++

### Grading Policy
- Programming assignments ~~(20%)~~ (30%)
- Midterm exam ~~(25%)~~ (30%)
~~- Final exam (25%)~~
- Final project ~~(30%)~~ (40%)

### Textbooks
- John C. Hull, [Options, Futures, and Other Derivatives](https://www.amazon.com/Options-Futures-Other-Derivatives-Global/dp/1292410655), 11/e, 2021
- Robert A Jarrow and Arkadev Chatterjea, [An Introduction to Derivative Securities, Financial Markets, and Risk Management](https://www.worldscientific.com/worldscibooks/10.1142/13797#t=aboutBook), 3/e, 2024
- [CFA Institute](https://www.cfainstitute.org/), 2025 CFA Program Curriculum Level I Volume 7: Derivatives, Level III Volume 4: Derivatives and Risk Management, 2024

### Programming Environment
- Python 3.8+ on [Google Colab](https://colab.google/)
- You need a Gmail account before using this platform.
- As an alternative, you can write programs on [Visual Studio Code](https://code.visualstudio.com/) with [Python 3.12](https://www.python.org/downloads/release/python-31211/).
- You could follow these [installation notes](https://code.visualstudio.com/docs/python/python-tutorial).

## **Syllabus**

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/* === Course syllabus table fix === */
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width: 7.5em; /* 關鍵：給 Date 一個生存空間 */
white-space: nowrap; /* 不准 2025-09-09 被拆 */
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font-variant-numeric: tabular-nums; /* 數字對齊，更像書 */
}

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<center>

| Date | Topics | Links |
| ---------- | -------- | -------- |
| 2025-09-09 | ◍ introduction; goal setting | ➽ [lecture slides](https://docs.google.com/presentation/d/1_VUS9J0bW5y_tw_qz_zFMuISoch6KYRtGRxkZ9amP0o/edit?usp=sharing)<br> ➽ [deprecated syllabus](https://docs.google.com/spreadsheets/d/e/2PACX-1vQG-mYfiR47aGniDwmhrwUD1JqeZBj_JJzEVTyIWDC9UjhRQki8AoFDpiFcTJQugOQOkdhJHJm91BOJ/pubhtml?gid=1358319366&single=true) <br> ➽ reading materials: [Hull_Chapter_01](https://docs.google.com/presentation/d/1aKcgxnJu3haw79waXqRWMyPFQqtOBxJ7/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true) |
| 2025-09-16 | ◍ futures, options, payoff functions, combinations | ➽ [lecture slides](https://hackmd.io/@arthurzllu/Hkj0dJUOxl) <br> ➽ HW1: [payoff_function.ipynb](https://colab.research.google.com/drive/19aTZAdL6BJF6bRhddzHgQB4AVJMbvhQT?usp=sharing) <br> ➽ reading materials: [Hull_Chapter_03](https://docs.google.com/presentation/d/1ikcwywFD2-LKdxLbtmCEUXQZMvHmLX9A/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true), [Hull_Chapter_05](https://docs.google.com/presentation/d/10xrzAia13IuGHhwOnnqTwUViHv6J4CJw/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true), [Hull_Chapter_10](https://docs.google.com/presentation/d/1kVfw7ImxPFzq_bOYMZBifpuQgmqiwonD/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true), [Hull_Chapter_11](https://docs.google.com/presentation/d/1h8HgZApS6eeG2A-Vh-v9r_UqncwL_LmW/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true), [Hull_Chapter_12](https://docs.google.com/presentation/d/1_g0BSzCPbcuCH6ee2NJJbyyt78ANzjwB/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true) |
| 2025-09-23 | ◍ discrete-time model, arbitrage-free principle, option pricing, BOPM | ➽ [lecture slides](https://hackmd.io/@arthurzllu/rkEjSaosex) <br> ➽ HW2: [BOPM.ipynb](https://colab.research.google.com/drive/18j170PRQWwMU8lWuMMDYmxkYw1HN8oTB?usp=sharing) <br> ➽ reading materials: [Hull_Chapter_13](https://docs.google.com/presentation/d/1Mqi8c6beDrjRO3F-SzpTaP_1DBmuGtjM/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true) |
| 2025-09-30 | ◍ Brownian motion, the Black-Scholes formula, implied volatility | ➽ [lecture slides](https://hackmd.io/@arthurzllu/rkBVWAG3xl) <br> ➽ HW3: [bs_formula_and_implied_vol.ipynb](https://drive.google.com/file/d/1XzzaeKmZcEP1vG4Cs87Q57sHbEEFbv1g/view?usp=sharing) <br> ➽ reading materials: [Hull_Chapter_15](https://docs.google.com/presentation/d/1JmPz0cIfZ0_csdHa_i67DjbEPVFDcdx_/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true), [Hull_Chapter_17](https://docs.google.com/presentation/d/19EBboKHxOwBVVwWJw6v9tmD_LQonBxfD/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true), [Hull_Chapter_28](https://docs.google.com/presentation/d/1FxFnuHIRfIGRNc1pvBFLZvzfd7P6Nnsm/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true), [Hull_Chapter_14](https://docs.google.com/presentation/d/1Zf6y9R52I78eEZw87T_WoABDs_z2uxOL/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true) <font size = -1 color = "gray">← proceed at your own risk</font> |
| 2025-10-07 | ◍ implied volatility curve / surface, delta hedge, Greek letters | ➽ [lecture slides](https://drive.google.com/file/d/1VOiL-4rMDv4NtyUI4Zu2x_g8d_56cxVx/view?usp=sharing)<br> ➽ HW4: [delta_hedging_and_more_greeks.ipynb](https://colab.research.google.com/drive/1dSBqXUSa3w1_UJ5duMeWHvnkuSXbDohE?usp=sharing) <br> ➽ reading materials: [Hull_Chapter_19](https://docs.google.com/presentation/d/181HK-1q-MqXcNtSDv52wol-h8w02XyS-/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true), [Hull_Chapter_20](https://docs.google.com/presentation/d/1jY1QTopdo-LH8xjA9nfVyuaILrLI_06k/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true), [Hull_Chapter_22](https://docs.google.com/presentation/d/12qthDxE5UrWHF__MvsNaCg2mzN4jnmGo/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true) |
| 2025-10-14 | ◍ numerical methods (Monte Carlo); | ➽ lecture slides: [Hull_Chapter_21](https://docs.google.com/presentation/d/1-WqBlIjeyjOsdrhpjPPGNWFldnn5Gx8K/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true) <br> ➽ HW5: [monte_carlo.ipynb](https://colab.research.google.com/drive/1ATeWa8QI3M0YtlU3ZCWog4-3QReN1v2o?usp=sharing) |
| 2025-10-21 | ◍ course review; <font color = "red"><b>project launch</b></font> | ➽ [lecture slides](https://docs.google.com/presentation/d/1F3JDd-8ncuaF7Xnl9B68SznkSAoByDdlCO_0Yh98LDw/edit?usp=sharing) <br> ➽ [Option Greeks Calculator](https://tradingblock.com/calculators/option-greeks-calculator) <br> ➽ [Google form for project selection](https://forms.gle/5XMTcDwr5m3NqTX9A) |
| 2025-10-28 | ◍ midterm exam | |
| 2025-11-04 | ◍ more models: Heston Model, Local Volatility Model, jump-diffusion model, mean-reverting process; exotic options: barrier options | ➽ lecture slides: [answers](https://gemini.google.com/share/30e84342ac81), [Hull_Chapter_26](https://docs.google.com/presentation/d/1sGpehtnAKmvsXRnIFyXPtbvMp9W39Bjd/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true), [Hull_Chapter_27](https://docs.google.com/presentation/d/1eZBu50AJQcSlo_s0VkiFVMvRpaEwig_6/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true) <br> ➽ HW6: [barrier_option.ipynb](https://colab.research.google.com/drive/1xAz9W_qit-xMXYMCqLw4v898k0FPsVNn?usp=sharing)<br> ➽ reading materials: N/A |
| 2025-11-11 | ◍ day off due to typhoon | |
| 2025-11-18 | ◍ correlation, pricing multi-asset options, structured notes | ➽ [lecture slides](https://hackmd.io/@arthurzllu/BkFB_zyxWx) <br> ➽ [final projects](https://docs.google.com/spreadsheets/d/1WDevul2A04bNJXXDVKGbZrBk1yYVR_j2lHXKDC3Wb2U/edit?usp=sharing) (please upload your slides and programs, if there is, to the gdrive) <br> ➽ HW7: [multi_asset_DIP_option.ipynb](https://colab.research.google.com/drive/1gUoMmCiwICyzCBIKoWfWnsumE8ZOuMvQ?usp=sharing) <br> ➽ reading materials: [Structured Investments](https://www.jpmorgan.com/content/dam/jpm/wealth-management/documents/StructuredNotesBrochure.pdf), [Types of Structured Notes](https://www.gbm.scotiabank.com/en/services/investor-solutions/education-centre/article.types-of-structured-notes.html), [結構性產品投資攻略](https://www.futuhk.com/blog/detail-what-are-structural-products-111-250595004) |
| 2025-11-25 | ◍ SOFR ([New York Fed](https://www.sofrrate.com/), [St. Louis Fed](https://fred.stlouisfed.org/series/SOFR)), term structure, forward rate, spot rate, fair price of snowball ELN with its greek letters; ~~model calibration, optimization~~ | ➽ [lecture slides](https://drive.google.com/file/d/11dyO7Nk2LNofC35uYUUxYzp1O41GzKdA/view?usp=drive_link) <br> ➽ [term sheet](https://drive.google.com/file/d/1Xqh2fUnNE6rjOY7tIgPFC7NLkIyLP7cc/view?usp=drive_link) <br> ➽ HW8: [ELN_snowball.ipynb](https://colab.research.google.com/drive/1NVOaPs5IT167I3AQMGabP1kvs1POv65E?usp=sharing) <br> ➽ reading materials: TBA |
| 2025-12-02 | ◍ <font color = "red"><b>project demonstration</b></font> (1 ppl) | |
| 2025-12-09 | ◍ convertible bond asset swap (CBAS) <br> ◍ <font color = "red"><b>project demonstration</b></font> (3 ppl) | |
| 2025-12-16 | ◍ <font color = "red"><b>project demonstration</b></font> (4 ppl) | |
| 2025-12-23 | ◍ <font color = "red"><b>project demonstration</b></font> (4 ppl) | |
| 2025-12-30 <br> 教師彈性教學 | ◍ case study "The Big Short" | ➽ rading materials: [Hull_Chapter_08](https://docs.google.com/presentation/d/16QkE0bDcGDkWfGKHVHEy25kT7QEiM-qM/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true), [Hull_Chapter_37](https://docs.google.com/presentation/d/1UhF2t3De0D7HQmmYxRUFs47fXmVEJTZw/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true) |
| 2026-01-05 <br> 教師彈性教學 | ◍ case study "Margin Call"| |

</center>

### Final Projects

<iframe src="https://docs.google.com/spreadsheets/d/e/2PACX-1vQIAF4QkL3JQIep3dYqIx6M9uJ9JlpHnDDrgjxiUAniz2wyAELeGAOuD1IHuK8EHtO68YqCEEJ2qSki/pubhtml?gid=152420973&amp;single=true&amp;widget=true&amp;headers=false" height="500"></iframe>

### Potential Project Topics

| Topic | References | Owner |
| -------- | -------- | -------- |
| Interest Rate Derivatives | ➽ [Hull_Chapter_04](https://docs.google.com/presentation/d/1xEJ8lj-Ts9bR6Hugwj-q2snWJzQYG39s/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true), [Hull_Chapter_06](https://docs.google.com/presentation/d/1V9kF7BUeWoPTDUGteGrE3xqkZCKCDily/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true), [Hull_Chapter_29](https://docs.google.com/presentation/d/1Fnir1iolS0IMqldactKIxrAYnElr5gp1/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true), [Hull_Chapter_30](https://docs.google.com/presentation/d/19wR0kfmgkLfl8xNm8mcoIBBIG6w2qsOK/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true), [Hull_Chapter_31](https://docs.google.com/presentation/d/1_TYYWFFDc-kL6tdrU0oPLkzqOjt7QCSG/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true), [Hull_Chapter_32](https://docs.google.com/presentation/d/1s82G0u3RQqjqtlJy3CETNiBRryHMus6D/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true), [Hull_Chapter_33](https://docs.google.com/presentation/d/1gkkXp60WKNt2V1EEsV21p3uUevremeea/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true); JC Chapter 2 | |
| Energy and Commodity Derivatives | ➽ [Hull_Chapter_35](https://docs.google.com/presentation/d/1wLDBOD436pbx9whpc34yyWFPvXhydFVB/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true) | |
| Options on Cryptocurrency | ➽ TBA | |
| Swaps | ➽ [Hull_Chapter_07](https://docs.google.com/presentation/d/1Q_m3bXWXdgDwvcSsaLdVwmg9-huHeaCB/edit?usp=sharing&ouid=112923882339719916421&rtpof=true&sd=true); JC Chapter 7, 21, 22, 23, 24, 25 | |
| Option Trading Strategy | ➽ TBA | |
| VIX | ➽ TBA | |
| GARCH model | ➽ TBA | |
| Stable Coin | ➽ TBA | |
| Delta-Gamma Hedge | ➽ pp. 714-716 of the [slides](https://www.csie.ntu.edu.tw/~lyuu/finance1/2024/20240503.pdf) from Prof. Lyuu | |

## **References**

### ++Finance++

#### Risk Management
- John C. Hull, [Risk Management and Financial Institutions](https://www.amazon.com/Management-Financial-Institutions-Wiley-Finance/dp/1119932483/), 6/e, 2023
- Emanuel Derman, Michael B. Miller, and David Park, [The Volatility Smile](https://www.amazon.com/Volatility-Smile-Wiley-Finance/dp/1118959167), 2016
- Colin Bennett, [Trading Volatility: Trading Volatility, Correlation, Term Structure and Skew](https://www.amazon.com/Trading-Volatility-Correlation-Term-Structure/dp/1499206070), 2014
- Rama Cont, [Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling](https://onlinelibrary.wiley.com/doi/book/10.1002/9781118266915), 2012
- Doug Huggins and Christian Schaller, [SOFR Futures and Options](https://www.wiley.com/en-us/SOFR+Futures+and+Options-p-9781119888956), 2022
- Global Association of Risk Professionals, [Financial Risk Manager (FRM®)](https://www.garp.org/#!/frm)

#### Financial Engineering: Pricing Theory & Financial Mathematics
- Tomas Björk, [Arbitrage Theory in Continuous Time](https://www.amazon.com/Arbitrage-Theory-Continuous-Oxford-Finance/dp/0198851618), 4/e, 2020
- Steven Shreve, [Stochastic Calculus for Finance I: The Binomial Asset Pricing Model](https://www.springer.com/gp/book/9780387401003), 2004
- Steven Shreve, [Stochastic Calculus for Finance II: Continuous-Time Models](https://www.springer.com/gp/book/9780387401010), 2004
- Brigo, Damiano, Mercurio, Fabio, [Interest Rate Models Theory and Practice with Smile, Inflation and Credit](https://www.springer.com/it/book/9783540221494), 2/e, 2006
- Paul Glasserman, [Monte Carlo Methods in Financial Engineering](https://www.springer.com/gp/book/9780387004518), 2003
- Cornelis W. Oosterlee and Lech A. Grzelak, [Mathematical Modeling and Computation in Finance](https://www.amazon.com/MATHEMATICAL-MODELING-COMPUTATION-FINANCE-EXERCISES/dp/1786347946), 2019
- Thomas J. Sargent and John Stachurski, [Advanced Quantitative Economics with Python](https://python-advanced.quantecon.org/)
- [QuantLib-Python](https://quantlib-python-docs.readthedocs.io/en/latest/)

#### Financial Market
- Frank J. Fabozzi, Frank J. Jones, Francesco A. Fabozzi, and Steven V. Mann, [Foundation of Global Financial Markets and Institutions](https://www.amazon.com/Foundations-Global-Financial-Markets-Institutions/dp/0262039540), 5/e, 2019
- Stanley Eakins Frederic Mishkin, [Financial Markets & Institutions](https://www.amazon.com/Financial-Markets-Institutions-Stanley-Frederic/dp/1292215003), 9/e, 2018
- Frank Fabozzi, [Bond Markets, Analysis, and Strategies](https://www.amazon.com/Bond-Markets-Analysis-Strategies-9th/dp/0133796779), 9/e, 2014
- Zvi Bodie, Alex Kane, Alan J. Marcus, [Investments](https://www.amazon.com/ISE-Investments/dp/1260571157/), 12/e, 2020

#### Portfolio Management
- Frank J. Fabozzi, Sergio M. Focardi, and Petter N. Kolm, [Financial Modeling of the Equity Market: From CAPM to Cointegration](https://onlinelibrary.wiley.com/doi/book/10.1002/9781119201236), 2012
- 石川，[因子投資：方法與實踐](https://www.sanmin.com.tw/Product/index/007867990)，2020
- Heinz Zimmermann, Wolfgang Drobetz, Peter Oertmann, [Global Asset Allocation: New Methods and Applications](https://www.amazon.com/Global-Asset-Allocation-Methods-Applications/dp/0471264261), 2002
- Bob Litterman and Quantitative Resources Group, [Modern Investment Management: An Equilibrium Approach](https://www.amazon.com/Modern-Investment-Management-Equilibrium-Approach/dp/0471124109), 2003
- Igor Tulchinsky, [Finding Alphas: A Quantitative Approach to Building Trading Strategies](https://www.amazon.com/-/zh_TW/dp/1119571219), 2019
- Fischer Black and Robert Litterman, [Global Portfolio Optimization](https://www.jstor.org/stable/4479577), 1992: [pdf](http://www.sef.hku.hk/tpg/econ6017/2011/black-litterman-1992.pdf)

#### Option Trading
- Lee Lowell, [Get Rich with Options: Four Winning Strategies from the Exchange Floor](https://www.amazon.com/Get-Rich-Options-Strategies-Straight/dp/0470445890), 2/e, 2009
- Dan Passarelli, [Trading Option Greeks: How Time, Volatility, and Other Pricing Factors Drive Profits](https://onlinelibrary.wiley.com/doi/book/10.1002/9781118531846), 2/e, 2012
- Courtney Smith, [Option Strategies: Profit-Making Techniques for Stock, Stock Index, and Commodity Options](https://www.amazon.com/Option-Strategies-Profit-Making-Techniques-Commodity/dp/0470247797), 3/e, 2008
- Scott Nations, [The Complete Book of Option Spreads and Combinations: Strategies for Income Generation, Directional Moves, and Risk Reduction](https://onlinelibrary.wiley.com/doi/book/10.1002/9781118819326), 2014
- George A. Jabbour and Philip H. Budwick, [The Option Trader Handbook: Strategies and Trade Adjustments](https://www.amazon.com/Option-Trader-Handbook-Strategies-Adjustments/dp/0470481617), 2/e, 2010
- Dennis A. Chen and Mark Sebastian, [The Option Trader's Hedge Fund: A Business framework for Trading Equity and Index Options](https://www.amazon.com/Option-Traders-Hedge-Fund-Framework/dp/0134807529), 2017
<!-- - James B. Bittman, Trading Options as a Professional: A Business Approach to Trading Options, 2008. -->
- Mark Sebastian, [Trading Options for Edge: Profit from Options and Manage Risk like the Professional Trading Firms](https://www.amazon.com/Trading-Options-Edge-Mark-Sebastian/dp/150151475X), 2017
- Adam S. Iqbal, [Volatility: Practical Options Theory](https://www.wiley.com/en-us/Volatility%3A+Practical+Options+Theory-p-9781119501688), 2018

### ++Computer Science++

#### Python Programming
- Zheng-Liang Lu, [APCS Python 101](https://hackmd.io/@arthurzllu/python101), National Taiwan University <font size = -1 color = "gray">offered in NTU during summer vacations</font>
- [CS 61A: Structure and Interpretation of Computer Programs](https://cs61a.org/), University of California, Berkeley, 2025fa <font size = -1 color = "red">IN PROGRESS</font>
- [CMU 15-112: Fundamentals of Programming and Computer Science](https://www.cs.cmu.edu/~112/index.html), Carnegie Mellon University, 2025fa <font size = -1 color = "red">IN PROGRESS</font>

#### Machine Learning for Finance
- Marcos Lopez de Prado, [Advances in Financial Machine Learning](https://www.amazon.com/Linear-Algebra-5th-Stephen-Friedberg/dp/0134860241/), 2018

### ++Mathematical Foundations++

#### Linear Algebra
- Stephen H. Friedberg, Arnold J. Insel, Lawrence E. Spence, [Linear Algebra](https://www.amazon.com/Linear-Algebra-5th-Stephen-Friedberg/dp/0134860241/), 5/e, 2018

#### Probability & Statistics
- Sheldon Ross, [Introduction to Probability Models](https://www.elsevier.com/books/introduction-to-probability-models/ross/978-0-12-814346-9), 12/e, 2019
- Svetlozar T. Rachev, Markus Hoechstoetter, Frank J. Fabozzi, and Sergio M. Focardi, [Probability and Statistics for Finance](https://www.wiley.com/en-us/Probability+and+Statistics+for+Finance-p-9780470400937), 2010
- Robert V. Hogg, Joseph W. McKean, and Allen T. Craig, [Introduction to Mathematical Statistics](https://www.amazon.com/-/zh_TW/dp/0134686993/), 8/e, 2019
- George Casella and Roger L. Berger, [Statistical Inference](https://www.amazon.com/Statistical-Inference-George-Casella/dp/0534243126), 2/e, 2001
- 陳旭昇，[統計學：應用與進階](http://homepage.ntu.edu.tw/~sschen/Book/Book1.html)，第三版
- 陳旭昇，[時間序列分析 - 總體經濟與財務金融之應用](http://homepage.ntu.edu.tw/~sschen/Book/Book2.htm)，第二版
- Michael Kutner, Christopher Nachtsheim, John Neter, and William Li, [Applied Linear Statistical Models: Applied Linear Regression Models](https://www.amazon.com/Applied-Linear-Statistical-Models-Michael/dp/007310874X), 5/e, 2019

### Additional Reading Materials
- Burton G. Malkiel，漫步華爾街：超越股市漲跌的成功投資策略
- James Owen Weatherall，華爾街的物理學
- Nassim Nicholas Taleb，隨機騙局
- IMDB: [Margin Call (2011)](https://www.imdb.com/title/tt1615147/) 中譯：黑心交易員的告白
- IMDB: [The Big Short (2015)](https://www.imdb.com/title/tt1596363/) 中譯：大賣空 <font size = -1 color = "red">A personal favorite!</font>
- IMDB: [Default (2018)](https://www.imdb.com/title/tt7233726/) 中譯：分秒幣爭
- IMDB: [Rogue Trader (1999)](https://www.imdb.com/title/tt0131566/) 中譯：魔鬼交易員
- IMBD: [Money (2019)](https://www.imdb.com/title/tt6890618/) 中譯：錢力遊戲

### MISC
- https://personal.ntu.edu.sg/nprivault/indext.html