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金融学专业教学大纲Sy IIabusofF inanc ia IEng ineer ingCourse number:10084006Course Name:Financial EngineeringCourseCredits:4Course Hours:64on-line experiment:14extracurricular practice:Course ApplicableSpecialty:FinanceCourse Suggestedsemester:6Business SchoolCourseLeader:Zhang TianxiangPreliminaryCourses:Higher Mathematics,Probability andStatistics Economics,Finance,Econometrics,Financial Market.
1.The Descriptionand Objectiveof theCourse Descriptionof theCourseThis coursecovers forwards,futures,swaps,and options.By theend ofthe course,students willhave goodknowledge ofhow theseproducts work,how theyare used,how theyare priced,and howfinancial institutionshedge theirrisks whenthey tradetheproducts.More advancedmaterial onderivative productsand riskmanagement iscoveredin laterelectives.Objectives ofThe course:1To enablestudents to understand andmaster the basic theoryof financialengineering,and touse relevantprinciples toprice financialderivatives suchasforward,futures,swaps andoptions.2On thebasis ofmastering thebasic theory,students canbe skilledin calculatingandsimulating withtools andprinciples of financial engineeringtosolve theproblems inthe practiceof financialengineering.3Guiding studentstounderstand the actualsituation ofFinance andeconomy athomeand abroad,keeping upwith thetrend of financial innovationin China,andapplying thetheory to the practiceof financialengineering.ILTeaching Content,Basic Requirementsand TimeDistributionCourse ContentReq KeyDiffie TimeExp-Rem-uir☆-erim-ark emeentaultiesnt△C2☆Chapter1Introduction AChapterII:Overview ofForward and2△☆Futures AChapterIII Forward and FuturesPricing8△
1.Forward andFutures PricesB☆
2.Pricing ofForward Contractsfor ANon-lncome Assets△☆
3.Pricing ofForward Contractsfor APayment of Assets with KnownCash☆Income A
4.Pricing ofForward Contractsfor☆PaymentofAssetswithKnown Ratesof AReturnB△
5.General conclusionson forwardandfutures
6.The relationshipbetween forwardfuturesprice andspot priceof underlyingassetsChapterIV:Application ofForward and22☆Futures A
1.Hedging withForwardandFutures B△2,Arbitrage andspeculation usingforwardand Fu-turesChapterV Stock Index Futures,Foreign42Exchange Forward,Interest RateForwardA☆and Interest Rate FuturesB△
1.Stock IndexFuturesB
2.Foreign ExchangeForwardA☆
3.Forward Interest Rate Agreement△
4.Interest RateFuturesB2B☆Chapter VI:Overview ofExchangeChapter VIIPricing andRisk Analysisof6☆Swaps A☆
1.Pricing ofInterestRateSwaps A△
2.Pricing ofCurrency SwapsB△
3.Risks ofExchange42Chapter VIIIThe Useof SwapsA☆☆△A☆Chapter IXOptions andOptions MarketA2Chapter X:Return andPrice Analysisof2Options☆A△
1.Option Returnand Profitand LossBAnalysis
2.The Characteristicsof OptionPriceChapterXI Black-Schultz-Merton Option82Pricing Modell.Ideas ofABlack-Schultz-Merton Option Pricing A☆Model
2.The ChangeProcess ofStock PriceA△☆
3.Blake-Schultz-Merton OptionPricing B△☆Formula
4.Accuracy EvaluationandExpansion ofB-S-M Opti-onPricing22Chapter XII:The numericalmethod of☆Boption prici-ng△Chapter XIIIOption TradingStrategies2and TheirApplication☆B22☆Chapter XIVStockIndexOptions,Foreign BExcha-nge Options,Futures Optionsand△InterestRateOptions☆Chapter XVRisk ManagementB22Teaching requirements:A-proficiency;B-mastery;C-△understandingIII.experimental projectsand timedistributionExperimental items:7experimental hours:14Tim PropertieNOProject NameType es1Conversion ofinterest rates2B ASpotforward parityand forwardcontract price2B A2verification experiment3Base differencevalidation experiment2B A4The CTDbond deliveryverification experiment2B A5Swaps experiment2B AExperimentson call-put parity,return andprice2B A6analysis ofoptionsB-S-M optionpricing modelvalidation experiment2B A7・IV TeachingmethodsFinancial Engineeringbelongs tothe courseof theoryand practice.With thegradualaccumulation ofteaching andresearch,an independenttheoretical andknowledgesystem hasbeen formed.The mainteaching methodsand meansof thiscourseare:using multimediateaching means,combining withcases,using heuristic,thematic discussion,computer simulationand othermethods toteach.・V CourseAssessment methodsand performanceevaluation criteria:The averagescore accounted for20-30%,andthefinal scoreaccountedfor70-80%.Usual assessmentmethods mainlyinclude attendanceand classroomquestioninginteraction,home work,case/panel discussions,etc.Final examinationismainly writtenexamination closedpaper,but alsocan considerusing thematicpapersor reportsto assess.VI.Textbooks andmain bibliographies:l.Textbooks:Financial Engineering,Edited byZheng Zhenlongand ChenRong,HigherEducation Press,
20122.Major bibliography
[1]Hull,J.C.,Options,Futures,and OtherDerivatives,10th Edition.2018,PearsonEducation.
[2]Li Shujin.Financial Engineering,2th Edition
2012.Peking UniversityPress,
3.XiamenUniversity NationalExcellent CourseHome Pageof FinancialEngineeringhttp://
210.34,
5.60VII.The Basisand Explanationfor theCompilation ofSyllabusThe syllabusof thiscourse iscompiled accordingtothetraining objectivesandrequirements ofundergraduates majoringin economicsand management,adaptingto thedevelopment trendof economicglobalization andthe characteristicsof thedemandfor internationalizedtalents inthe newcentury,and combiningthe natureofthe course,thebasictasks andrequirements ofteaching,after beingapproved bytheCollege TeachingCommittee.This outlinehighlights thebasic principlesof financialengineering,the pricingof financialinstruments,the useoffinancialinstruments,andcombines thelatest directionsand trendsof Chinasfinancial innovationanddevelopment toimprove theefficiency ofthe useoffinancialresources andoptimizethe allocationof keycontent.。