《金融經(jīng)濟學(xué)全英文2》課程教學(xué)大綱

1、金融經(jīng)濟學(xué)全英文2課程教學(xué)大綱一、課程基本信息課程名稱：金融經(jīng)濟學(xué)課程代碼：131602 學(xué) 分：3學(xué) 時：3學(xué)時/課，共54學(xué)時。二、任課教師、助教、教室等情況（四）教 室：H307 （五）上課時間：每周一下午5-7節(jié)（六）紀 律：1、無特殊情況，不允許無故缺課。2、每次作業(yè)須在規(guī)定時間內(nèi)提交，作業(yè)需獨立完成，不得有抄襲現(xiàn)象，一經(jīng)發(fā)現(xiàn)，均記零分。三、閱讀材料（一）教材：Bailey R.E. The Economics of Financial Markets, Cambridge University Press, 2005; 世界圖書出版公司2014影印版（二）參考書1. Bodie,

2、Z., R. Merton, and D. Cleeton, Financial Economics, Prentice Hall, 2nd edition, 2008.2. Bodie, Z., A. Kane, and A. Marcus, Investments, McGraw-Hill Education, 9th edition, 2012.3. Fabozzi, F., E. Neave, and G. Zhou, Financial Economics, John Wiley & Sons, 2012.四、課程內(nèi)容概要課程以習(xí)近平新時代中國特色社會主義思想為指導(dǎo)，深入貫徹落實習(xí)總

3、書記在全國高校思想政治工作上的講話精神，將專業(yè)課程與思政教育相結(jié)合，將知識傳遞與價值引領(lǐng)有機融入，培養(yǎng)學(xué)生的政治意識、大局意識、核心意識、看齊意識；樹立正確的社會主義核心價值觀，以扎根中國大地為基礎(chǔ)，以中國實踐為依托，培養(yǎng)合格的新時代中國特色社會主義合格建設(shè)者和可靠接班人。 課程的主要任務(wù)是幫助學(xué)生理解金融市場運行的邏輯、樹立正確的金融分析思維，特別正確認識“風(fēng)險收益權(quán)衡關(guān)系”這一資本市場的核心思想，為后續(xù)的金融專業(yè)課程學(xué)習(xí)打好理論基礎(chǔ)。由于現(xiàn)代金融學(xué)其學(xué)科的開創(chuàng)性和前沿性的研究大多數(shù)在西方國家展開的大背景下，本課程將堅持正確的價值引領(lǐng)，將金融學(xué)理論知識與我國國情充分結(jié)合，努力實現(xiàn)專業(yè)教育與社

4、會主義核心價值觀教育的互融共通。授課內(nèi)容雖然側(cè)重理論模型的介紹，但是在整個課程學(xué)習(xí)中，將風(fēng)險的概念一直貫穿始終，讓學(xué)生充分認識風(fēng)險在資本市場的作用。結(jié)合“十九大”報告指出的防范重大風(fēng)險是當前國家面臨的一項重要任務(wù)，在課程每講涉及的案例或?qū)嵶C發(fā)現(xiàn)的討論中加入與風(fēng)險有關(guān)的內(nèi)容。課程雖為全英文課程，但要讓學(xué)生充分認識我國資本市場在我國經(jīng)濟運行中發(fā)揮的重要作用，了解中國資本市場發(fā)展狀況、現(xiàn)象、制度設(shè)計等國情。（一）課程目標The objective of the course is to provide a rigorous treatment of theory in modern finance

5、including CAPM, the fundamental theorem of asset pricing and its application in pricing contingent claims.Learning OutcomesStudents are expected tounderstand the expected utility theory and competing measures of risk aversionunderstand the mathematics associated with the mean-variance analysis and p

6、ortfolio choices by rational investors understand the economical concepts associated with the fundamental theorem of asset pricing and to appreciate its usefulness in financebe able to apply the fundamental theorem for pricing contingent claims, and to be able to establish the relationship between t

7、he price of primary securities and those of derivative securitiesbe able to derive CRRs binomial option pricing model by applying the fundamental theorem（二）課程內(nèi)容序號題目知識點學(xué)時（課堂教授）1Asset markets and asset pricesThe main types of capital marketsFundamental principles of asset price determination Arbitrage

8、Asset market efficiencyChinese stock market development42Predictability of prices and market efficiency Random walks of asset prices and martingales Asset market efficiency and anomaliesAnomalies in Chinese stock marketPrice impact of informed trades- Kyle (1985) model83Decision making under uncerta

9、intyExpected utility theoryRisk aversion and the measure of risk aversionRisk aversion and portfolio choice44Portfolio choice problem and mean-variance analysisOptimal choice problemMarkowitz Efficient frontier85The capital asset pricing modelMarket portfolioThe capital asset pricing modelCapital ma

10、rket line and security market line36ArbitrageNo arbitrage and state pricesRisk neutral probabilities47Factor models and the arbitrage pricing theorySingle factor modelMulti factor modelAPT58Empirical appraisal of the CAPM and APTEmpirical examination of CAPMFama-French (1993) three factor model310Op

11、tion marketsCall options and put optionsPut-call parityCox-Ross-Rubinstein (CRR)s binomial option pricing model6課時總計：51學(xué)時課程教授（45學(xué)時）+項目展示（3學(xué)時）+平時測驗（3學(xué)時）（三）課程要求1.課前課后按每次講義要求進行課前預(yù)習(xí)和課后復(fù)習(xí)。2.作業(yè)：請在規(guī)定時間內(nèi)提交作業(yè)，逾期不收。每次作業(yè)都將登記。作業(yè)請獨立完成，若發(fā)現(xiàn)有抄襲，不計成績，請認真對待。3.課程包含一次項目報告和展示，學(xué)生以小組的形式參加項目，具體要求參照項目內(nèi)容。（四）課程安排課程講授內(nèi)容授課方式作業(yè)(

12、教材)/測驗輔助學(xué)習(xí)材料1Lecture 1 Asset markets and asset pricesThe main types of capital marketsFundamental principles of asset price determination 講授課外閱讀文獻查詢、閱讀Bailey Chapter 1，各大財經(jīng)媒體有關(guān)中國資本市場的介紹融資融券政策有關(guān)內(nèi)容Shanghai Stock Exchange,Shenzhen Stock Exchange, etc.2Lecture 1 Asset markets and asset pricesArbitrageMa

13、rgin tradingLecture 2 Predictability of prices and market efficiency1.Random walks of asset prices and martingales 講授課外閱讀文獻查詢、閱讀Bailey Chapter 1，各大財經(jīng)媒體有關(guān)中國資本市場的介紹閱讀推薦融資融券有關(guān)文章3Lecture 2 Predictability of prices and market efficiency2.Asset market efficiency and anomalies講授課外閱讀學(xué)習(xí)編程語言文獻查詢、閱讀Bailey, Cha

14、pter 2&3Malkiel, B. G. (2011) , A Random Walk down Wall Street, Norton, completely revised and updated edition.Shiller, R. J. (2006), Irrational Exuberance, Crown, 2nd edition. 非理性繁榮Shleifer, A. (2000), Inefficient Markets: An Introduction to Behavioral Finance, Oxford University Press.A little SAS

15、book等，自學(xué)SAS語言4Lecture 2 Predictability of prices and market efficiency3.Price impact of informed trades- Kyle (1985) modelProject 1 presentation講授課外閱讀作業(yè)1Bailey, Chapter 2&3Malkiel, B. G. (2011) , A Random Walk down Wall Street, Norton, completely revised and updated edition.Shiller, R. J. (2006), Ir

16、rational Exuberance, Crown, 2nd edition. 非理性繁榮Shleifer, A. (2000), Inefficient Markets: An Introduction to Behavioral Finance, Oxford University Press. 5Lecture 3 Decision making under uncertaintyExpected utility theoryRisk aversion and the measure of risk aversion講授課外閱讀文獻查詢、閱讀Bailey,Chapter4Fabozzi

17、, F., E. Neave, and G. Zhou, Financial Economics, John Wiley & Sons, 2012, Ch. 9.Elton, E., M. Gruber, S. Brown and W. Goetzmann, Modern Portfolio Theory and Investment Analysis，John Wiley, 7th, 2007, Ch. 106Lecture 3 Decision making under uncertaintyRisk aversion and portfolio choice講授課外閱讀閱讀Bailey,

18、Chapter4Fabozzi, F., E. Neave, and G. Zhou, Financial Economics, John Wiley & Sons, 2012, Ch. 9.Elton, E., M. Gruber, S. Brown and W. Goetzmann, Modern Portfolio Theory and Investment Analysis，John Wiley, 7th, 2007, Ch. 107Lecture 4 Portfolio choice problem and mean-variance analysisOptimal choice p

19、roblem講授課外閱讀文獻查詢、閱讀Bailey, Chapter 5Bodie, Kane and Marcus, Investments, McGraw Hill, 8th. 2009, chapter 6 &7Bodie, Z., R. Merton, D. Cleeton, Financial Economics, Prentice Hall, 2nd edition, 2008, chapter 10, 11. 8Lecture 4 Portfolio choice problem and mean-variance analysisMarkowitz Efficient fron

20、tier講授課外閱讀作業(yè)2Bailey, Chapter 5Bodie, Kane and Marcus, Investments, McGraw Hill, 8th. 2009, chapter 6 &7Fabozzi, F., E. Neave, and G. Zhou, Financial Economics, John Wiley & Sons, 2012, chapter 139Lecture 5 The capital asset pricing modelMarket portfolioThe capital asset pricing modelCapital market l

21、ine and security market line講授課外閱讀文獻查詢、閱讀Bailey, Chapter 6Bodie, Z., R. Merton, D. Cleeton, Financial Economics, Prentice Hall, 2nd edition, 2008, Ch13. Bodie, Kane and Marcus, Investments, McGraw Hill, 8th. 2009, Ch 9,13. 10Quiz 1Lecture 6 ArbitrageNo arbitrage and state prices考試講授課外閱讀閱讀Bailey, Cha

22、pter 711Lecture 6 ArbitrageComplete marketRisk neutral probability講授課外閱讀文獻查詢、閱讀Bailey, Chapter 7Bodie, Kane and Marcus, Investments, McGraw Hill, 8th. 2009, Ch 8,10. 12Lecture 7 Factor models and the arbitrage pricing theorySingle factor modelMulti factor modelArbitrage pricing theory講授課外閱讀文獻查詢、閱讀作業(yè)

23、 3Bailey, Chapter 8Bodie, Kane and Marcus, Investments, McGraw Hill, 8th. 2009, Ch 8,10. 13Lecture 8 Empirical appraisal of the CAPM and APTEmpirical examination of CAPMFama-French (1993) three factor model講授課外閱讀文獻查詢、閱讀Bailey, Chapter 9Bodie, Kane and Marcus, Investments, McGraw Hill, 8th. 2009, Ch.

24、 13.Fama, E.F., and K.R. French (1992), The Cross-Section of Expected Stock Returns, Journal of Finance, 47, 427-465.Fama, E.F., and K.R. French (1993), Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics, 33, 3-56.14Lecture 8 Empirical appraisal of the CAPM and APTFama-French (1993) three factor modelQuiz 2講授課外閱讀文獻查詢、閱讀Bailey, Chapter 9Bodie, Kane and Marcus, Investments, McGraw Hill, 8th. 2009, Ch. 13.Fama, E.F., and K.R. French (1992), The Cross-Section of Expected Stock Returns, Journal of Finance, 47, 427-465.Fama, E.F., an