《金融工程教學(xué)大綱》課程教學(xué)大綱

SyllabusofFinancialEngineering金融工程課程教學(xué)大綱CourseCode（課程代碼）:FIN357CourseName（課程名稱）:FinancialEngineering/金融工程Semester（開課學(xué)期）:6Credits（學(xué)分）/AcademicHours（學(xué)時(shí)）:3/48CourseType（課程類別）:RequiredCourse（必修課）Prerequisite(s)（先修課程）:PrinciplesofEconomics;FinancialMarketing;InternationalFinance,Advancedmathematics,ProbabilityandmathematicalstatisticsOfferedby（開課單位）:SchoolofEconomicsandManagement（經(jīng)濟(jì)與管理學(xué)院）1.CourseOverview(includingcoursedescription,objectives,outcomes,content)【課程簡(jiǎn)介（包含課程性質(zhì)、目的、任務(wù)和內(nèi)容）】Thiscoursecoversoptions,forwardcontracts,futurescontracts,andswaps.Bytheendofthiscourseyouwillhaveagoodknowledgeofhowthesecontractswork,howtheyareused,andhowtheyarepriced.IndividualswhoareskilledatanalyzingderivativesareingreatdemandinNewYork,Londonandotherfinancialcentersthroughouttheworld.Ifsuccessful,theycancommandveryhighsalarieswithinafewyearsofgraduating.AttheendofthecoursestudentsshouldDemonstratetheirunderstandingofcorefinancial.BefamiliarwithmostoftheproductsthattheyarelikelytoencounterinfinancialmarketsUnderstandhowmarketriskandcreditriskisquantifiedbybanksandotherfinancialinstitutions.Demonstrateanin-depthunderstandingofthefutures,options,swaps.Demonstrateanin-depthunderstandingofBSMmodelsanditsapplication.2.MethodsofInstruction（教學(xué)方法）Lecturing,Q&A,classdiscussion,anddemonstratingmethodsaremainlyusedformostoflectures.Inaddition,presentation,quizzes,researchpaperandhomeworkassignmentarealsogiveninduetimetocheckthestudents’learningoutcomes.3.In-classandExtracurricularTeachingandLearningArrangementandBasicRequirements（課內(nèi)外教學(xué)環(huán)節(jié)教學(xué)安排及基本要求）TeachingandLearningcomponentsandacademichourallocationareshowninTable3-1Table3-1TeachingandLearningComponentsandAcademicHourAllocationNo.CourseContentIn-classAcademicTeachingHoursExtracurricularHours1Introductionoffinancialengineering442Introductiontobinomialtrees443WinenerprocessesandItoslemma444Valuingstockoptions,TheBlack-Scholes-Mertonmodel445OptionsonStockIndices,Currencies,andFutures446TheGreeks447Volatilitysmiles448Valueatrisk449Estimatingvolatilitiesandcorrelations4410Creditriskandderivatives4411Casestudyanddiscuss4412Reviewofcourse44Total48484.ExtracurricularLearningRequirements（課外學(xué)習(xí)要求）Studentsarerequiredtospendextracurricularhoursbeforeclass,toacquaintancethemselveswiththebasicconceptsandterminologies,aswellasafterclass,forhomeworkassignments.Forextracurricularlearningmaterials,seethereferenceslistedinPart7.LearningthroughsearchenginesandE-Learningarealsoencouraged.Therewillbehomeworkassignmentsevery1-2weeks.Youmaydiscusshomeworkquestionswithyourclassmates;however,ithastobeyourindividualwork.Youhavetosubmityoursolutionfileforeachassignmentimmediatelyafteryouarenotified.Theduedateforeachassignmentwillbeannouncedwhenthehomeworkareassigned.Latesubmissionwillcausepenaltyonthegrade.Plagiarisminassignmentsisconsideredasacademicdishonestyandfailinggradesinaparticularassignmentwillbegivenforthestudentsinvolvedinplagiarismaccordingtotheseriousnessofoffense.Thestudentsmayalsoberequiredtosubmitaresearchpaperwhichisregardingeconomictheoryand/oritsapplications,onecurrentandreal-worldeconomicissueandsoon.Thepurposeofthispaperistoimprovetheabilityofeconomicresearch.Thetopicofthepapercaneitherbechosenbythestudentsthemselvesbasedondiscussionwiththeteacherorbegivenbytheteacherdirectly.Thefinalversionofteampapershouldbesubmittednolaterthan12thweekofthesemester.Latesubmissionwillcausepenaltyonthegrade.5.GradingPolicy（考核內(nèi)容及方式）GradingSystem:Hundred-marksystem(√);Five-gradesystem();Two-gradesystem()(1)Five-gradesystem:A:from100to90;B:from89to80;C:from79to70;D:from69to60;F:below60(2)Two-gradesystem:P:from100to60;F:below59EvaluationType:Exambased(√);Non-Exambased()Thecourseevaluationgradeisproportionatelycomposedofin-semesterevaluationandfinalexamasfollows:40%assessmentinin-semesterevaluationwhichincludesclassattendance(10-15%),homeworkassignments/presentations(10-15%),quizzes/researchpaper(15%).Schoolpolicydictatesthatattendanceismandatory.Studentsshouldcometoeveryclassontime,stayfortheentireclass,andbeattentiveduringtheclassexceptforfamilyorhealthrelatedemergencies.Ifyoudomissaclassitisyourresponsibilitytogetlecturenotesandassignmentsfromanotherstudent.IfyoumissmorethanthreeclassestheInstructorreservestherighttodropyoufromthecourse.60%assessmentinfinalexam.Theexamdurationis2hours.Thefinalexamswillfocusonthetext,lecturesandhomeworkassignments.Itwillconsistof10fillingtheblanks,15multiple-choicequestions,4-5shortanswers,4applicationquestions,1casestudy.Itisthestudent’sresponsibilitytofamiliarizehimselforherselfwithandadheretotheUniversitystandardssetforthinthepoliciesoncheatingandplagiarism.6.ContinuousImprovement（持續(xù)改進(jìn)）Accordingtothefeedbacksfromstudentsandsupervisorsofteachingandlearningduringin-semesterevaluation,classdiscussions,finalexam,etc.,teachingandlearningapproa