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主讲：郑振龙教授 助教：王磊
上课时间地点：周二、四5-6节群贤二103
Comments
are welcome: zlzheng@xmu.edu.cn
1、教材：郑振龙、陈蓉主编，《金融工程》(第2版），高等教育出版社，2008年。“十一五”国家级规划教材。
2、教学大纲.doc 2009年2月10日
3、软件
4、FEErrata.doc
(错误订正）(2009.3.31)
5、主要参考书籍：
1）John Hull, Option, 2008, Futures
and Other Derivatives, Prentice Hall, 7th ed.
2）Terry J. Watsham, 1998, Futures
and Options in Risk Management, Thomson Learning, 2nd ed.
3）John C. Cox, Mark Rubinstein,
1985, Options Markets, Prentice hall.
4）约翰 马歇尔等，1998, 《金融工程》,清华大学出版社.
5）宋逢明，1999, 《金融工程原理》,清华大学出版社.
6）罗伯特 C 默顿等，2001, 《金融工程案例》,东北财经大学出版社.
7）陈松男 《金融工程学》复旦大学出版社。
6、Further Readings:
1）Futures, Forwards, Options and Swaps: Theory and
Practice （较通俗易懂的教材）
2）金融学与经济学基本关系探讨.pdf
（郑振龙、陈蓉）
3)期货市场有价格发现功能吗？（陈蓉、郑振龙）
4)Forward
and Futures Prices:Evidence from the Foreign Exchange Markets,
pp..pdf
5)The
Efficiency of the Treasury Bill Futures Market, pp. 895-914.pdf
6)Market
Incompleteness and Divergences Between Forward and Futures
Interest.pdf
7)An
Economic Analysis of Interest Rate Swaps, pp. 645-655.pdf
8)Assessing
Credit Risk in a Financial Institution's Off-Balance Sheet Commitments,
pp. 489-501.pdf
9)Swaps:
Plain and Fanciful, pp. 831-850.pdf
10）Arbitrage:
The Key to Pricing Options.pdf
11）Put-Call
Parity and Market Efficiency.pdf
12）the
relation between call and put option prices
13)标准化期权的特征和风险（通俗读物）
14）期权入门.pdf（通俗读物）
15）期权交易策略.pdf（通俗读物）
16）Two-State
Option Pricing.pdf
7、课件：
1）第一章
2) FE2.pdf
3) FE3.pdf
4) FE4.pdf
5) FE5.pdf 327.pdf
6) FE6.pdf
7) FE7.pdf
8) FE8.pdf
9) FE9.pdf
10)FE10.pdf
11)FE11.pdf
12)FE12.pdf
13)FE13.pdf
14)FE14.pdf
8、作业
第1章：HW1.pdf
第2章：HW2.pdf
第3章：HW3.pdf
第4章：HW4.pdf
第5章：HW5.pdf
第6－8章：HW6.pdf
第9章：HW9.pdf
第10章：HW10.pdf
第11章：HW11.pdf
第12章：HW12.pdf
第13章：HW13.pdf
第14章：HW14.pdf
9、相关链接：
1） 世界主要交易所
2） 中国证监会
3） 上海证券交易所
4） 深圳证券交易所
5） 中国证券网
6） 全景网络
7） 中国证券报
8） 中国债券信息网
9）Yahoo Finance: Allows downloading
past prices of stocks, bonds, and exchange traded options in Excel
spreadsheet. We will use it to track prices, download data, and for
researching. You may create your own portfolio and track them in (almost)
real time. Here is an example
calculation of the adjusted close prices of a security using Chicago
GSB CRSP
standard.
10）US Treasury (here you can get
information on all US savings bonds, such as, T-Bills, Notes, and
Bonds) determines the virtually riskfree T-Bill
rates via auction in TreasuryDirect (or,
alternatively, here) web site.
Recent T-Bill prices and rates can be found here. You may
download T-Bill, Note, and Bond auction history since 1980 from here. Here is
their explanation of "How do
Treasury Convert the Price for a Bill to a Discount Rate?" Do you
agree with their calculation method?
11）University of Chicago
Business and Economics Resource Center，and the web page of Center for Research in
Security Prices (CRSP) in Chicago GSB.
12）Here is an online note on "How to Solve
Linear Equations in Excel?" Here is another online
note.
13) Here is a tutorial on "How to Use Excel Solver?". Here is another
one. Here is an Example.
Another tutorial.
14)Here is a tutorial on "How to Use
LINEST of Excel" for Linear Regression.
15)Here is an Excel VBA tutorial by Bob McDonald from
Northwestern Kellogg. Kellogg's
TEKcamp have many more technology related resources. Here is a tutorial on SPSS from Kellogg.
16)Wondering which stocks are there in S&P-500 Index? Check out here!
17)Here is another excellent MBA level online notes on
Investments.
18)PMpublishing
has a lot of old volatility skew patterns in all markets. Not updated for
long.
19)A Bunch of Financial
Calculators: Sometimes useful.
20)SSRN: Research journal and other
article archive in finance and economics.
21)Finance Resources on the
Web: A well organized portal maintained by Professor Ian Giddy at
Stren School, NYU.
22)CNN Money: A well-versed source for
current financial and economic news. Other sources for financial data are:
NYSE, Bloomberg, Value Line etc. Yahoo! Finance and
NYSE shows stock beta.
23)GloriaMundi.org: A place
dedicated to teach "all about Value-at-Risk".
24)iVolatility: A place
for option traders. A good collection (portal) of useful practical
information (and readings) for investors dealing with exchange traded
derivatives.
25)This web site posts almost current implied
volatility smile pattern observed in various options markets. In past,
they used to update the pattern everyday, but now, it seems, they are
lagging behind.
26)The web page of Derivatives Week is an
excellent resource for up-to-date information on all types of
over-the-counter financial instruments market including job
opportunities.
27)其他链接请点击本网站的收藏夹。
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