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主讲：郑振龙教授 陈蓉教授
上课时间地点：周二上午3-4节 嘉庚2-203
1、 课程说明与教学大纲
2、教材：John Hull, Options, Futures, and other derivatives, 10th edition.
3、Errata(10th edition)
4、课件（2020）
1）金融创新与价值创造
2) 金融的本质
3) 《金融工程》重要理论与方法.pdf
4) chp19-2020.pdf
5) chp20-2020.pdf
6） chp21-2020.pdf
7） chp27-2020.pdf
8） chp26-2020.pdf
5、John Hull's website
6、软件（郑振龙、陈蓉主编《金融工程》附带软件）2012.10.17更新
7、http://www.econphd.net/notes.htm 非常好的网站，有宏微观经济学、计量经济学、数学、编程等许多非常好的讲义。
8、Furthur Readings:
1) 10 Myths About Financial Derivatives.htm
2）Understanding Risks
3) Technical Documents of RiskMertics
3）Arbitrage: The Key to Pricing Options.pdf
4）结构性外汇存款
5）The Behavior of Stock-Market Prices.pdf
6）The Pricing of Options and Corporate Liabilities.pdf
7）the Components of the Return from Hedging Options Against Stocks.pdf
8) VaR when daily changes in market variables are not normally distributed.pdf
9)Value at Risk An Approach to Calculating Market Risk.pdf
10)Value at Risk for Interst Rate-Dependent Securities.pdf
11)Incorporating Stress Tests into Market Risk Modeling.pdf
12)Backtesting Value-at-Risk A Duration-Based Approach.pdf
13)sensitivity analysis of VAR.pdf
14）How to use volatility futures.pdf
15）A Lattice Framework for Option Pricing with Two State Variables.pdf
16)The Use of the Control Variate Technique in Option Pricing, pp. 237-251.pdf
17)The adaptive mesh model A new approach to efficient option pricing.pdf
18）Numerical evaluation of multivariate contingent claims.pdf
19）Path Dependent Options Buy at the Low, Sell at the High pp. 1111-1127.pdf
20）Options on the Maximum or the Minimum of Several Assets, pp. 277-283.pdf
21）An Intertemporal General Equilibrium Model of Asset Prices1985.pdf
22)A Theory of the Term Structure of Interest Rates1985.pdf
23)An Equilibrium Model of Bond Pricing and a Test of Market Efficiency.pdf
24)The Pricing of Options on Debt Securities, pp. 11-24.pdf
25)An Exact Bond Option Formula, pp. 205-209.pdf
26)Interest Rate Volatility and the Term Structure A Two-Factor General Equilibrium Model.pdf
27)Time-Dependent Variance and the Pricing of Bond Options, pp. 1113-1128.pdf
28)One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities.pdf
29)Pricing interest-rate-derivative securities.pdf
30)Valuing Derivative Securities Using the Explicit Finite Difference Method.pdf
31)Lattice Models for Pricing American Interest Rate Claims.pdf
32)an empirical comparison of forward-rate and spot-rate options.pdf
33)Bond Pricing and Term Structure of Interest Rates A Discrete Time Approximation
34)Bond Pricing and the Term Structure of Interest Rates A New Methodology for Contingent Claims Valuation.pdf
35)Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics.pdf
36)Term Structure Movements and Pricing Interest Rate Contingent Claims.pdf
37)Case Studies in Financial Modeling: Required Reading
38)Moody's EDF模型
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