本人和陈蓉教授主讲的在线开放课程《金融工程》，请访问：https://www.icourse163.org/course/XMU-1460823161
也可以通过手机扫描二维码下载APP观看：
1、教材：郑振龙、陈蓉主编，《金融工程》(第5版），高等教育出版社，2020年。“十二五”*********规划教材。hot！
2、 FEsoftware.rar(本教材中的几乎所有计算都可在此找到相应的软件)。
3、错误订正：
4、课件：
FE.rar(第5版除了第5章之外的最新课件） FE5.pptx（第5章课件）
本人教学用的课件请参见 http://efinance.org.cn/kcjx/34.html
5、习题解答可发邮件向本人免费索取(限任课教师)： zlzheng@xmu.edu.cn 。
6、主要参考书籍：
1)John Hull, Option, 2011, Futures and Other Derivatives, Prentice Hall, 8th ed.
3)John Hull, 2004, Fundamentals of Futures and Options Markets, Prentice Hall, 5th ed.
4)Terry J. Watsham, 1998, Futures and Options in Risk Management, Thomson Learning, 2nd ed.
5)John C. Cox, Mark Rubinstein, 1985, Options Markets, Prentice hall.
6)约翰 马歇尔等，1998, 《金融工程》,清华大学出版社.
7)宋逢明，1999, 《金融工程原理》,清华大学出版社.
8)罗伯特 C 默顿等，2001, 《金融工程案例》,东北财经大学出版社.
9)陈松男 《金融工程学》复旦大学出版社。
7、Further Readings:
1)Futures, Forwards, Options and Swaps: Theory and Practice (另一较通俗易懂的教材)
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？
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
11)Arbitrage: The Key to Pricing Options.pdf
12)Put-Call Parity and Market Efficiency.pdf
13)the relation between call and put option prices
14)标准化期权的特征和风险(通俗读物)
15)期权入门.pdf(通俗读物)
16)期权交易策略.pdf(通俗读物)
17)Two-State Option Pricing.pdf
18)A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices.pdf
19)The Behavior of Stock-Market Prices.pdf
20)Models of Stock Returns--A Comparison, pp. 147-165.pdf
21)A Test for Multivariate Normality in Stock Returns.pdf
22)The Pricing of Options and Corporate Liabilities1973.pdf
23)Tests of the Black-Scholes and Cox Call Option Valuation Models, pp..pdf
24)the Components of the Return from Hedging Options Against Stocks.pdf
25)Tests of an American Option Pricing Model on the Foreign Currency Options Market, pp. 153-167.pdf
26)Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates.pdf
27)The Valuation of Options on Futures Contracts, pp. 1319-1340.pdf
28)Empirical Performance of Alternative Option Pricing Models, pp. 2003-2049.pdf
29)The Valuation of Option Contracts and a Test of Market Efficiency, pp..3
30)Prices of State-Contingent Claims Implicit in Option Prices.pdf
31)Tests of Market Efficiency of the Chicago Board Options Exchange.pdf
32)S&P 100 Index Option Volatility, pp. 1551-1561.pdf
33)Recovering Probability Distributions from Option Prices, pp. 1611-1631.pdf
34)Pricing Warrants An Empirical Study of the Black-Scholes Model and Its Alternatives, pp. 1181-1209.pdf
35)An Empirical Examination of the Black-Scholes Call Option Pricing Model, pp..pdf
36)Implied Binomial Trees, pp. 771-818.pdf
37)The Term Structure of Volatility Implied by Foreign Exchange Options, pp. 57-74.pdf
38)Valuation of Foreign Currency Options Some Empirical Tests, pp. 145-160.pdf
39)An Empirical Test of a Valuation Model for American Options on Futures Contracts, pp. 377-392.pdf
40) VaR when daily changes in market variables are not normally distributed.pdf
41)Value at Risk An Approach to Calculating Market Risk.pdf
42)Value at Risk for Interst Rate-Dependent Securities.pdf
43)Incorporating Stress Tests into Market Risk Modeling.pdf
44)Backtesting Value-at-Risk A Duration-Based Approach.pdf
45)sensitivity analysis of VAR.pdf
46)Value at Risk When Daily Changes are Not Normally Distributed,
Journal of Derivatives, Vol. 5, No. 3, (Spring 1998), pp. 9-19 (with Alan White)
47)Incorporating Volatility Updating into Value at Risk Calculations,
Journal of Derivatives, Vol. 6, No. 1, (Fall 1998), pp. 5-19 (with Alan White)
48)How to use volatility futures.pdf
49)A Lattice Framework for Option Pricing with Two State Variables.pdf
50)The Use of the Control Variate Technique in Option Pricing, pp. 237-251.pdf
51)The adaptive mesh model A new approach to efficient option pricing.pdf
52)Numerical evaluation of multivariate contingent claims.pdf
53)Path Dependent Options Buy at the Low, Sell at the High pp. 1111-1127.pdf
54)Options on the Maximum or the Minimum of Several Assets, pp. 277-283.pdf
55)Using Hull-White Interest Rate Trees,
Journal of Derivatives, Vol. 3, No. 3, (Spring 1996), pp. 26-36 (with Alan White)
56)The General Hull-White Model and SuperCalibration
Financial Analysts Journal, 57, 6, (Nov-Dec) 2001 (with Alan White)
57) Forward Rate Volatilities, Swap Rate Volatilities, and the Implementation of the LIBOR Market Model,
Journal of Fixed Income, Vol. 10, No. 3 (Sept 2000), pp 46-62 (with Alan White)
58)A Methodology for Assessing Model Risk and its Application to the Implied Volatility Function Model,
Journal of Financial and Quantitative Analysis, Vol. 37, No. 2, (June 2002), pp 297-318 (with Wulin Suo)
59)Volatility Surfaces: Theory, Rules of Thumb, and Empirical Evidence
Working Paper, University of Toronto (with Toby Daglish and Wulin Suo)
60)How to Value Employee Stock Options
Financial Analysts Journal, Vol. 60, No. 1, January/February 2004, 114-119 (with Alan White)
61)Accounting for Employee Stock Options: A Practical Approach to Handling the Valuation Issues:
Journal of Derivatives Accounting, Vol. 1, No. 1 (2004), pp 3-9. (with Alan White)
62) Valuing Credit Default Swaps I: No Counterparty Default Risk,.
Journal of Derivatives, Vol. 8, No. 1, (Fall 2000), pp. 29-40 (with Alan White)
63)Valuing Credit Default Swaps II: Modeling Default Correlations,
Journal of Derivatives, Vol. 8, No. 3, (Spring 2001), pp. 12-22 (with Alan White)
64)The Valuation of Credit Default Swap Options
Journal of Derivatives, 10, 3 (Spring 2003) pp. 40-50 (with Alan White)
65)The Relationship Between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements
Forthcoming, Journal of Banking and Finance (with Mirela Predescu and Alan White)
66)Merton's Model, Credit Risk, and Volatility Skews
Working Paper, University of Toronto (with Izzy Nelken and Alan White)
67)Valuation of a CDO and nth to Default CDS Without Monte Carlo Simulation Forthcoming, Journal of Derivatives (with Alan White)
68)Bond Prices, Default Probabilities, and Risk Premiums
Working Paper (with Alan White and Mirela Predescu)
8、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. Anothertutorial.
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 patte
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