上课时间：周四晚7:00  上课地点：嘉二101

教材：Lars Tyge Nielsen, Pricing and Hedging of Derivative Securities, 1999.

1、上课安排

2、Stochastic Processes

3、Ito Calculus

4、Gaussian Processes.tex

5、Securities and trading strategy.tex

6、Martingale

7、The Black-Scholes Model

国家自然科学基金应急项目资料：

１、A Study of the Volatility Risk Premium in the OTC Currency Option Market.pdf

２、An overview of non-deliverable foreign exchange forward markets.pdf

３、Arbitrage Tests of Israel's Currency Options Markets.pdf

４、Capital Flows, Hedge Funds and Market Failure A Hong Kong Perspective.pdf

５、Consequences of Liberalizing Derivatives Markets.pdf

６、Currency Crises in the Tropic A Short Introduction to the Policy.pdf

７、Currency Futures and Currency Crises.pdf

８、Currency Options and Exchange Rate Economics.htm

９、Derivatives and global capital flows applications to Asia.pdf

１０、Derivatives in Asia-Pacific Markets.pdf

１１、Does implied volatility of currency futures option imply volatility of exchange rates.pdf

１２、Does the Introduction of Futures on Emerging Market Currencies Destabilize the Underlying Currencies.pdf

１３、DYNAMIC SPECULATIVE ATTACKS.pdf

１４、Emerging Derivative Markets in Asia.pdf

１５、Emerging Economies Crises Lessons from the 1990’s.pdf

１６、Estimation of Speculative Attack Models Mexico Yet Again.pdf

１７、Exchange Rate Pegs and Foreign Exchange Exposure in East and South East Asia.pdf

１８、Extracting information from Currency Option Prices Some preliminary results for Hong Kong.pdf

１９、Extracting Market Expectations from Option Prices Case Studies in Japanese Option Markets.pdf

２０、Financial Liberalization and the Evolution of Banking and Financial Risks The Case of South Korea.pdf

２１、Foreign Currency Risk Hedging Performance in Won-dollar Futures Markets and Non Deliverable Forward.doc

２２、Foreign Exchange Hedging in Chile.pdf

２３、Foreign exchange intervention and foreign exchange market development in Korea.pdf

２４、Foreign exchange market intervention in emerging markets motives.pdf

２５、Foreign Exchange Market Liberalization The Case of Korea.pdf

２６、Forward currency markets in Asia lessons from the Australian experience.pdf

２７、Hedging Foreign Exchange Risk in Chile Markets and Instruments.pdf

２８、Heterogeneous Expectations, Currency Options and the Euro　Dollar Exchange Rate.pdf

２９、Implied Exchange Rate Distributions Evidence from OTC Option Markets.pdf

３０、Information Content of Cross-Sectional Option Prices A Comparison of Alternative Currency Option Pricing Models on the Japanese Yen.pdf

３１、Investing in openness the evolution of FDI Strategy in South Korea and Taiwan.pdf

３２、Is THE Foreign Exchange Derivatives Market Effective AND Efficient IN Reducing Currency Risk.pdf

３３、Official Intervention in the Foreign Exchange Market Is It.pdf

３４、Sand in the Wheels of Foreign Exchange Markets A Sceptical Note.pdf

３５、Speculative Attack and Korean Exchange Rate Regime.pdf

３６、Speculative Attack on the Hong Kong Currency Board System Option Market Channel.pdf

３７、The Dangers of Exchange-Rate Pegging in Emerging-Market Countries.pdf

３８、The Derivatives Market in Latin America with Emphasis on Chile.pdf

３９、The Double Play Simultaneous Speculative Attacks on Currency and Equity Markets.pdf

４０、the forcasting ability of correlations implied in foreign exchange options.pdf

４１、The Foreign Exchange Options Markets in a Small Open Economy.pdf

４２、The Hong Kong Currency Speculation Attack 1997-98.doc

４３、The Impact of Hedge Funds on Financial Markets.pdf

４４、The Informational Content of Over-the-counter Currency Options.pdf

４５、The markets for non-deliverable forwards in Asian currencies.pdf

４６、The Political Economy of Exchange Rate Policy in Latin America.pdf

４７、The Role of Derivatives in the East Asian Financial Crisis.pdf

４８、Trading volumes, volatility and spreads in foreign exchange markets evidence from emerging market countries.pdf

４９、Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity in April 2007.pdf

５０、two paths to financial liberalization south Korea and Taiwan.pdf

2007.10.11新加的：

51.发展中国远期外汇品种的优先次序(国际经济评论2005).kdh

52.韩国金融衍生品市场发展的经验及对我国的启示.kdh

53.汇改一年论人民币汇率衍生产品的发展R(国际经济评论2006).kdh

54.美国外汇衍生品监管权限的演变及借鉴.kdh

55.人民币NDF与人民币汇率失调关系的实证分析(国际金融2005).kdh

56.人民币产品创新和风险管控(国际金融研究200608张光平).caj

57.人民币汇改影响广泛而深远R(国际金融研究).caj

58.人民币远期外汇交易结构失衡问题研究(台湾经验2004).caj

59.英国金融衍生产品监管机制分析及启示(国际金融研究2005).caj

60.中国金融衍生品发展路径从国际比较看中国选择（巴曙松）.kdh

61.中国外汇期货推出的路径选择R(国际经济评论).kdh

62.中国外汇市场制度设计与改革前瞻(国际金融研究2006).kdh

以上文件打不开，请下载这个中文文献.rar

63.The Institutional and Structural Problems of China’s Foreign Exchange Market.pdf

64.Nondeliverable forward market for Chinese RMB A first look.pdf

65.借鉴新加坡经验_尽快将上海建成国际金融中心.pdf

2007.10.13

66.Did option prices predict the ERM crisis.pdf

67.why tax foreign exchange.pdf

68.Dynamic Relations between International Equity and Currency Markets.pdf

69.fx_survey.pdf (BIS 2004)

70.A Tax on Foreign-Exchange Transactions.pdf

71.REDUCING FOREIGN EXCHANGE SETTLEMENT RISK A PROGRESS REPORT.pdf

72.The Use of Foreign Currency Derivatives and Firm Market Value.pdf

73.Currency Derivatives and Exchange Rate Forecastability.pdf

74.Settlement risk in foreign exchange markets and CLS Bank.pdf

75.the fx market in US.rar

76.Market Expectations in the UK before and after the REM crisis.pdf

77.智利文献.rar

78.香港.rar

79.DERIVATIVES, FISCAL POLICY.pdf

80.The Role of Currency Derivatives in Internationally Diversified Portfolios.pdf

81.r_fx96.pdf (BIS REPORT 1995)

82.CBS_Derivatives_1999.pdf

83.the FX and OTC derivatives in the UK.pdf

84.A New Breed of Exchange Rate BandsChile, Israel and Mexico.pdf

85.BIS公布外汇衍生品交易数据.pdf

86.Table 20B Amounts outstanding of OTC foreign exchange derivatives.xls

87.Table 23A Derivative financial instruments traded on organised exchanges.xls

88.The Exchange Rate in IsraelPolicy and Opinion.pdf

89.从固定汇率到浮动汇率.pdf

90.对发展外汇衍生市场与推进汇率机制改革关系的重新审视.pdf

91.试析如何稳步发展人民币汇率衍生品业务.pdf

92.中国外汇衍生品市场发展的次序.pdf

2007.10.17

93.a survey on hedging markets in asia---a description of asian derivatives markets.pdf

94.external liberalization and the evolution of china's exchange system---an empirical approach.pdf

95.forward currency markets in asia.pdf

96.information flows between non-deliverable forwards and spot markets---evidence from korea currency.pdf

97.interventions in the foreign exchange market---effectiveness of derivatives and other instruments.pdf

98.is the fx derivatives market effective and efficient in reducing currency risk.pdf

99.Modeling the degree of currency misalignment around the Asian financial crisis---evidence from taiwan and korea's non-delivery forward exchange markets.pdf

100.Nondeliverable forward market for Chinese RMB A first look.pdf

101.recent developments in international currency derivatives market.pdf

102.regulating the otc market in london.pdf

103.structural changes in volatility of foreign exchange rates after the asian financial crisis.pdf

104.the asian financial crisis---the role of derivative securities trading and foreign investors in korea(published).pdf

105.volatility transmissions between renminbi and asia-pacific on-shore and off-shore us dollar futures.pdf

106.微观结构.rar

107.rmb 汇率和中国经济.rar

108.干预.rar