金融學(xué)專業(yè)教學(xué)大綱SyllabusofFinancialEngineering

金融學(xué)專業(yè)教學(xué)大綱SyllabusofFinancialEngineering

Coursenumber:10084006

CourseName:FinancialEngineering

CourseCredits:4

CourseHours:64(on-lineexperiment:14extracurricularpractice:)

CourseApplicableSpecialty:Finance

CourseSuggestedsemester:6

BusinessSchool

CourseLeader:ZhangTianxiang

PreliminaryCourses:HigherMathematics,ProbabilityandStatisticsEconomics,Finance,Econometrics,FinancialMarket.

TheDescriptionandObjectiveoftheCourse

DescriptionoftheCourse：

Thiscoursecoversforwards,futures,swaps,andoptions.Bytheendofthecourse,studentswillhavegoodknowledgeofhowtheseproductswork,howtheyareused,howtheyarepriced,andhowfinancialinstitutionshedgetheirriskswhentheytradetheproducts.Moreadvancedmaterialonderivativeproductsandriskmanagementiscoveredinlaterelectives.

ObjectivesofThecourse:

(1)Toenablestudentstounderstandandmasterthebasictheoryoffinancialengineering,andtouserelevantprinciplestopricefinancialderivativessuchasforward,futures,swapsandoptions.

(2)Onthebasisofmasteringthebasictheory,studentscanbeskilledincalculatingandsimulatingwithtoolsandprinciplesoffinancialengineeringtosolvetheproblemsinthepracticeoffinancialengineering.

(3)GuidingstudentstounderstandtheactualsituationofFinanceandeconomyathomeandabroad,keepingupwiththetrendoffinancialinnovationinChina,andapplyingthetheorytothepracticeoffinancialengineering.

II.TeachingContent,BasicRequirementsandTimeDistribution

CourseContent

Req-uirement

Key

（☆）

Diffic-ulties（△）

Time

Exp-erimenta

Rem-ark

ChapterIIntroduction

C

A

☆

△

2

ChapterII:OverviewofForwardandFutures

A

☆

△

2

ChapterIIIForwardandFuturesPricing

1.ForwardandFuturesPrices

2.PricingofForwardContractsforNon-IncomeAssets

3.PricingofForwardContractsforPaymentofAssetswithKnownCashIncome

4.PricingofForwardContractsforPaymentofAssetswithKnownRatesofReturn

5.Generalconclusionsonforwardandfutures

6.Therelationshipbetweenforward(futures)priceandspotpriceofunderlyingassets

B

A

A

A

A

B

☆

☆

☆

☆

△

△

8

ChapterIV:ApplicationofForwardandFutures

1.HedgingwithForwardandFutures

2.ArbitrageandspeculationusingforwardandFu-tures

A

B

☆

△

2

2

ChapterVStockIndexFutures,ForeignExchangeForward,InterestRateForwardandInterestRateFutures

1.StockIndexFutures

2.ForeignExchangeForward

3.ForwardInterestRateAgreement

4.InterestRateFutures

A

B

B

A

☆

☆

△

△

4

2

ChapterVI:OverviewofExchange

B

B

☆

2

ChapterVIIPricingandRiskAnalysisofSwaps

1.PricingofInterestRateSwaps

2.PricingofCurrencySwaps

3.RisksofExchange

A

A

B

☆

☆

△

△

6

ChapterVIIITheUseofSwaps

A

A

☆

☆

△

4

2

ChapterIXOptionsandOptionsMarket

A

☆

2

ChapterX:ReturnandPriceAnalysisofOptions

1.OptionReturnandProfitandLossAnalysis

2.TheCharacteristicsofOptionPrice

A

B

☆

△

2

ChapterXIBlack-Schultz-MertonOptionPricingModel1.IdeasofBlack-Schultz-MertonOptionPricingModel2.TheChangeProcessofStockPrice

3.Blake-Schultz-MertonOptionPricingFormula4.AccuracyEvaluationandExpansionofB-S-MOpti-onPricing

A

A

A

B

☆

☆

☆

△

△

8

2

ChapterXII:Thenumericalmethodofoptionprici-ng

B

☆

△

2

2

ChapterXIIIOptionTradingStrategiesandTheirApplication

B

☆

2

ChapterXIVStockIndexOptions,ForeignExcha-ngeOptions,FuturesOptionsandInterestRateOptions

B

☆

△

2

2

ChapterXVRiskManagement

B

☆

△

2

2

(Teachingrequirements:A-proficiency;B-mastery;C-understanding)

III．experimentalprojectsandtimedistribution

Experimentalitems:7experimentalhours:14

NO

ProjectName

Time

Type

Properties

1

Conversionofinterestrates

2

B

A

2

Spotforwardparityandforwardcontractprice

verificationexperiment

2

B

A

3

Basedifferencevalidationexperiment

2

B

A

4

TheCTDbonddeliveryverificationexperiment

2

B

A

5

Swapsexperiment

2

B

A

6

Experimentsoncall-putparity,returnandpriceanalysisofoptions

2

B

A

7

B-S-Moptionpricingmodelvalidationexperiment

2

B

A

IV．Teachingmethods

FinancialEngineeringbelongstothecourseoftheoryandpractice.Withthegradualaccumulationofteachingandresearch,anindependenttheoreticalandknowledgesystemhasbeenformed.Themainteachingmethodsandmeansofthiscourseare:usingmultimediateachingmeans,combiningwithcases,usingheuristic,thematicdiscussion,computersimulationandothermethodstoteach.

V．CourseAssessmentmethodsandperformanceevaluationcriteria:

Theaveragescoreaccountedfor20-30%,andthefinalscoreaccountedfor70-80%.Usualassessmentmethodsmainlyincludeattendanceandclassroomquestioninginteraction,homework,case/paneldiscussions,etc.Finalexaminationismainlywrittenexamination(closedpaper),butalsocanconsiderusingthematicpapersorreportstoassess.

VI．Textbooksandmainbibliographies:

1.Textbooks:FinancialEngineering,EditedbyZhengZhenlongandChenRong,HigherEducationPress,2012

2.Majorbibliography

[1]Hull,J.C.,Options,Futures,andOtherDerivatives,10thEdition.2018,PearsonEducation.

[2]LiShujin,FinancialEngineering,2thEdition2012.PekingUniversityPress,

3.XiamenUniversityNationalExcellentCourseHomePageofFinancialEngineering(0)

VII．TheBasisandExplanationfortheCompilationofSyllabus

Thesyllabusofthiscourseiscompiledaccordingtothetrainingobjectivesandrequirementsofundergraduatesmajorin