金融工程(本科课程)


主讲:郑振龙教授 助教:杨玉晓

上课时间地点:周二晚上9-11节,南强二201

      本人教学视频请访问爱课程网站:

               
www.icourses.cn/sCourse/course_6080.html
        进入这个链接后可手机扫码下载APP 

1、教材:郑振龙、陈蓉主编,《金融工程》(第4版),高等教育出版社,2016年。“十二五”国家级规划教材。

2、教学大纲  2020年2月18日

3、软件 2019.2.16更新

4、第4版错误订正:feErrata20171030 (2017.10.30更新)

5、主要参考书籍:

    1)John Hull, Option, 2018, Futures and Other Derivatives, Prentice Hall, 10th ed.

    2)SN Neftci, Principles of financial engineeringSecond Edition, 2008,Academic Press Advanced Finance.

    3) Mathematics for Finance: An Introduction to Financial Engineering (Springer Undergraduate Mathematics Series) by Marek Capinski and Tomasz Zastawniak (Nov 25, 2010)

    4) Financial Engineering: Derivatives and Risk Management by Keith Cuthbertson and Dirk Nitzsche (Jun 6, 2001)

    5) Financial Engineering by Brian Anthony Eales (Mar 7, 2001)

    6)  Futures, Options, and Swaps by Robert Kolb and James A. Overdahl (Mar 6, 2007)

    7) Fundamentals of the Futures Market by Donna Kline (Dec 12, 2000)

    8) Fundamentals of Options Market by Michael Williams and Amy Hoffman (Dec 19, 2000)

    9) Swaps and Other Derivatives (The Wiley Finance Series) by Richard Flavell (Jan 26, 2010)

    10) Introduction to Derivatives: Options, Futures, and Swaps by R. Stafford Johnson (Jun 23, 2008)

    11) Applied Derivatives: Options, Futures and Swaps by Richard J. Rendleman (Mar 6, 2002)

    12)Terry J. Watsham, 1998, Futures and Options in Risk Management, Thomson Learning, 2nd ed.

    13)John C. Cox, Mark Rubinstein, 1985, Options Markets, Prentice hall.

    14) 《金融工程理论与实务》,林苍祥、郑振龙、蔡时铨、邱文昌著,北京大学出版社,2012年5月。

    15)约翰 马歇尔等,1998, 《金融工程》,清华大学出版社.

    16)宋逢明,1999, 《金融工程原理》,清华大学出版社.

    17)罗伯特 C 默顿等,2001, 《金融工程案例》,东北财经大学出版社.

    18)陈松男 《金融工程学》复旦大学出版社

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6、Further Readings:

   1)Futures, Forwards, Options and Swaps: Theory and Practice (较通俗易懂的教材)

课件1
课件2.rar
课件3.rar
习题和试题.rar

   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:(我们会在上课前更新)

   1)FE1-2020   FE1-2020(新版).pdf
   2)FE2-2020.pdf (自学)
   3)FE3-2020.pdf
   4)  FE4-2020.pdf
   5)FE5-2020.pdf
   6)FE6-2020.pdf
   7)  FE7-2020.pdf              
   8)  FE8-2020.pdf
   9)  FE9-2020.pdf
   10) FE10-2020.pdf
   11) FE11-2020.pdf
   12) FE12-2020.pdf
   13) FE13-2020.pdf
   14) FE14-2020.pdf
   15) FE15-2020.pdf
   16) FE16-2020.pdf
   17) FE17-2020.pdf

8、作业

   2020年作业如

     第一章:HW1-2020.docx
     第三章:HW3-2020.docx
     第四章:HW4-2020.docx

     第7-8章HW7-8-2020.docx
     第10章:HW10-2020.docx 
     第11章:HW11-2020.docx
     第12章:HW12-2020.docx
     第13章:HW13-2020.docx
     第14章:HW14-2020.docx

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 TEKcamphave 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: NYSEBloombergValue 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)OTC衍生品数据来源

 

 28)其他链接请点击本网站的收藏夹