高级金融工程

  1、课程说明与教学大纲
  2、教材
   3、Errata
  4、课件
  5、John Hull's website
  6、软件
  7、http://www.econphd.net
  8、Furthur Readings

 

主讲:郑振龙教授 陈蓉教授   助教: 陈焕华

上课时间地点:周一上午1-2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(点击链接可以看到上届的课件,2018年新课件如下)

  1)金融创新与价值创造

  2)金融的本质

  3)期权的风险管理与复制

  4)波动率与偏度

  5)数值方法基础 (自学) 高级数值方法

  6)奇异期权与结构性产品

  7)金融工程与避税

  8)衍生品定价模型.pdf

  9)数据分析与参数估计.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