金融工程课程教学大纲模版英文版.docx

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1、Syllabus of Financial EngineeringCourse Name： Financial EngineeringCourse Code：Credits： 3.0Total Credit Hours： 48Lecture Hours： 42Experiment Hours：Programming Hours：Practice Hours： 6Total Number of Experimental (Programming) Projects 0 ,Where, Compulsory ( 0 ), Optional ( 0 ).School： 08 School of Bu

2、sinessTarget Major： FinanceI、Course Nature & AimsFinancial Engineering is one of the professional core courses in finance, as a multidisciplinary field drawing from finance and economics, mathematics, statistics and engineering methods, with a balance of theory teaching and skills development. This

3、course offers an introduction to the definition of financial derivatives such as futures, options, forwards, swaps and other derivatives, as well as their market mechanism, trading strategies and pricing models. It will familiarize students with stochastic processes and stochastic calculus as they a

4、re useful to price derivative assets. It will help students understand the basic analytical ideas of financial engineering such as no-arbitrage equilibrium analysis, risk-neutral pricing and martingale pricing principles. It will guide students to identify hedging strategies and using derivative ins

5、truments to reduce investments risk. Utilizing a large number of relevant case studies, this course will facilitate a better understanding of the current trend of financial innovation, and cultivate the ability of students to think innovatively and solve financial engineering problems creatively.II

6、Course Objectives1. Moral Education and Character Cultivation.The course provides a comprehensive understanding of the theory and techniques of financial engineering. Through the explanation of the history of financial engineering and the process of establishing relevant theories and technologies, s

7、tudents will be able to understand how their predecessors thought during the development of financial engineering and how to overcome the obstacles encountered, and will be able to develop a scientific mindset and a spirit of facing challenges in their work. From the perspective of the role of the d

8、iscipline of financial engineering in Chinas innovation-driven development, and using the research work of outstanding contributors as the carrier, the education of socialist core values is integrated into the content and teaching process of the curriculum, highlighting value leadership, knowledge t

9、ransfer and capacity development, helping students to correctly understand the laws of history, accurately grasp the basic conditions of the country, grasp scientific13.4 Asian options13.5 Look-back optionsTeaching Requirements: After studying this chapter, students are required to be familiar with

10、the concepts of combination options, perpetual American options, choice options, obstacle options, binary options, look-back options, subaltern options and other common oddball options; understand the idea of pricing oddball options within the framework of the Black-Six-Merton differential equation;

11、 master the numerical pricing method of oddball options; be familiar with the profit and loss characteristics and application methods of various types of oddball options; master the combination replication method to hedge oddball options; use oddball options to manage asset risk.Key Points： Features

12、 of various types of exotic optionsDifficult Points： Pricing of exotic optionsChapter 14 Energy and commodity derivatives (supporting course objectives 1,2,3)14.1 Energy Derivatives14.2 Climate derivatives14.3 Insurance DerivativesTeaching Requirements: After studying this chapter, students are requ

13、ired to be familiar with the concepts, historical background, current development and future trends of agricultural products, metals, energy, climate and insurance derivatives; understand the role of mean regression in energy and commodity derivatives pricing; understand the impact of two measures,

14、HDD and CDD, on the value of climate derivatives; understand the different effects of systemic risk on various types of derivatives; understand the use of risk-free rate of return discounting to calculate derivatives prices; understand how to use energy and commodity derivatives to transform and red

15、uce risk.Key Points： Characteristics and pricing of energy and commodity derivativesDifficult Points： Climate derivativesIV、Table of Credit Hour DistributionTeachingContentIdeological and Political IntegratedLectureHoursExperimentHoursPracticeHoursProgrammingHoursSelf-studyHoursExerciseClassDiscussi

16、onHoursChapter 1Introduction to Financial33EngineeringChapter 232Tradingmechanismsfor forwardsand futuresCh 叩 ter 333Forward andfuturescontractpricingChapter 433Interest rateforwards andinterest ratefuturesChapter 533SwapContractsChapter 632The featuresof StockOptionsChapter 732OptionsTradingStrateg

17、yChapter 834BinomialModel ofOptionPricingChapter 934TheBrownianMotion andthe ItoLemmaChapter 10BlakeScholesMertonModel34Chapter 11 Numerical approach to option pricing334Chapter 12Greeks334Chapter 13ExoticOptions34Chapter 14 Energy and commodity derivatives33Total42645Sum48V、Summary of Experimental

18、(Programming) ProjectsNo experiment (programming) sessionVI、Teaching MethodClass lectures: This course is mainly taught by the instructor, supplemented by self-study and after-school assignments submitted through online study platform. The teaching process is flexible in the use of books and multime

19、dia teaching. Students are encouraged to communicate actively with the instructor in order to ask questions or review lecture material.Heuristic teaching: Important learning points are taught with the idea of asking questions, analyzing problemsand solving problems, so as to develop students corresp

20、onding abilities. In-class exercises and real life examples that engage students and enhance their employability are frequently adopted.VII、Course Assessment and Achievement EvaluationAssessment Methods： ExaminationExamination Formats： Closed-bookGrading Methods： Hundred-mark SystemCourse Assessment

21、 Content, Assessment Format and Supporting Course ObjectivesCourseObjectives (Indices)AssessmentContentAssessment Formats and Proportion ( % )GradingClassroomQuestioningAssignmentEvaluationRoutine TestExperimentReportTermReportTermPaperMidtermExamFinalExamProportion(%)Objective 1 (Index 9-2)Futures

22、Hedging, Basis Risk, Perfect Hedging, Options P&L Analysis, Exotic Options252000514Objective 2 (Index 8-2)Minimum Variance Hedge Ratio, Greeks, Spread Strategy, Straddle Strategy, Energy Derivatives, Climate Derivatives3530002031Objective 3(Index3-2)Forward contractPricing, SwapContractPricing, Trea

23、sury35305002036Objective 4 (Index2-1)Monte Carlo simulation, Binomial pricing model, Finite difference method, American option pricing2520500519Total1020100100050100VID、Course ResourcesTextbooks：John C. Hull. Options, Futures, and Other Derivatives (Tenth Edition)M. New York: Pearson Education, 2018

24、Bibliography：1. Robert A. Jarrow. Continuous-Time Asset Pricing Theory A Martingale-Based ApproachM. Cham: Springer, 2018Zheng Zhenlong, Chen Rong. Financial Engineering (Fourth Edition) |M|. Beijing: Higher Education Press, 2016.2. P-C.G. Vassiliou. Discrete-time Asset Pricing Models in Applied Sto

25、chastic FinanceM. Hoboken: John Wiley & Sons,2010Marek Capinski, Tomasz Zastawniak. Mathematics for Finance: An Introduction to Financial Engineering|M|. New York: Springer, 2003Reading Materials： Financial Times, Wall Street Journal.IX、NotesPrerequisites: Higher Mathematics, Probability Theory and

26、Mathematical Statistics, FinanceFollow-up Courses:Contents and Requirements of Students* Self-study: NoBilingual Teaching or Not: NotRequirements and Proportion of Bilingual Teaching: NoDiscipline and Considerations of Practice Session: no practice sessionNotes: Noworldview and methodology, and prom

27、ote the establishment of correct worldview and values.2. Course ObjectivesThrough the study of this course, students1 qualities, skills, knowledge and abilities obtained are as follows：Objective 1. Learn the basic methods of risk identification, measurement and management(Corresponding to Chapter 1,

28、5,6,7,11,14, supporting for graduation requirements index 9.1、9.2、9.3、12.1 12.2 12.3)Objective 2. Understand the basic principles and methods of value preservation and arbitrage (Corresponding to Chapter 1,2,3,4,5,6,7,11,12,13,14, supporting for graduation requirements index 10.1 10.2、 10.3)Objectiv

29、e 3. Learn the basic methods and principles of derivative pricing(Corresponding to Chapter 3,4,5,8,9,10,12,13,14, supporting for graduation requirements index 4.1、4.2 4.3)Objective 4. Understand the application of stochastic processes and numerical methods in finance (Corresponding to Chapter 8,9,10

30、,11,13, supporting for graduation requirements index 5.1 5.2 5.3)Supporting for Graduation RequirementsThe graduation requirements supported by course objectives are mainly reflected in the graduation requirements indices 4.1 4.2 4.3、5.1 5.2、5.3、9.1、9.2、9.3、10.1、10.2、10.3、12.1、12.3、12.3, as follows:

31、Supporting for Graduation RequirementsCourseObjectivesGraduationRequirementsIndices and Contents Supporting forGraduation RequirementsTeaching TopicsLevel ofSupportIndicesContentsObjective 19. Investment andFinancingDecis 沁 n-MakingAbilityIndex9.1.Build a solid foundation infinancial theories and me

32、thods.Chapter1,5,6,7,11,14HIndex9.2.Make investment decisions and judgement, capitalizing on the knowledge from a number of courses including securities investment, risk management, and venture capital.Chapter1,5,6,7,11,14HIndex9.3.Make financial decisions in an international perspective, derived fr

33、om a comprehensive understanding of a variety of courses such as macroeconomics, international finance and financialChapter1,5,6,7,11,14Hengineering.12. CareerDevelopment AbilityIndex12.3.Master the professional theories and knowledge of finance, management, economics, and trade related to finance,

34、which pave the way for future career development.Chapter1,5,6,7,11,14HIndex12.3.Demonstrate self-learning and self-motivation ability in related disciplines.Chapter1,5,6,7,11,14HIndex12.3.Have interdisciplinary and professional development capabilities.Chapter1,5,6,7,11,14HObjective 210. Professiona

35、lCompetenceIndex10.1.Construct proprietary architectonic system of finance through a thorough understanding of financial knowledge.Chapter123,4,5,6,7,1123,14,HIndex10.2.Develop, design, plan and execute new ideas in the field of financial instruments facilitated by the combined knowledge of manageme

36、nt and economics.Chapter1,2,3,4,5,6,7,11,12,13,14,HIndex10.3.Build wide-ranging professional expertise and enhance professional ability in analyzing and solving problems through their own body of knowledge.Chapter123,4,5,6,7,11/2,13,14,HObjective 34. PracticalApplication AbilityIndex4.1.Use flexibly

37、 the acquired professional knowledge in financial practice.Chapter3,4,5,8,9,10,12,13,14HIndex4.2.Digest, interpret, highlight, and present information from domestic and international sources, so as to provide consultation for the government, enterprises, financialChapter3,4,5,8,9,10,12,13,14Hinstitu

38、tions on practical issues.Index4.3.Apply principles of modern finance and economics as well as analytical tools to cope with practical challenges while conducting scientific research.Chapter3,4,5,8,9,10,12,13,14HObjective 45. Manipulation ofFinancial AnalyticalTools AbilityIndex5.1.Skillfully use co

39、mputer for business operations.Chapter8,9,10,11,13HIndex5.2.Skillfully process data, build models and make evaluations with the assistance of methods from modern financial econometrics and data science.Chapter8,9,10,11,13HIndex53Write professional papers and research reports.Chapter8,9,10,11,13HIII、

40、Basic Course ContentChapter 1 Introduction to Financial Engineering (supporting course objectives 2)1.1 Definition of financial engineering1.2 The birth and development of modern financial theory1.3 The basic idea of non-arbitrage pricingTeaching Requirements: After studying this chapter, students w

41、ill master the concepts, features and basic functions of financial engineering, become familiar with the background of the generation and development of financial engineering, the basic analytical methods and tools used in the pricing of financial products, understand the main technical means of fin

42、ancial engineering, the relationship between financial engineering and risk management, understand the micro factors and intrinsic, macro factors and extrinsic dynamics of the generation and development of financial engineering, clarify the knowledge structure, research scope and content system of f

43、inancial engineering, a preliminary understanding of the principle of non-arbitrage pricing and basic methods of state price pricing used in financial engineering.Key Points： Definition and development history of financial engineeringDifficult Points： The basic idea of non-arbitrage pricingChapter 2

44、 Trading mechanisms for forwards and futures (supporting course objectives 1,2)2.1 Characteristics and trading mechanisms of forward and futures contracts2.2 Basis risk2.3 Cross hedgeTeaching Requirements: After studying this chapter, students are required to master the definition and main types of

45、forward and futures contracts; familiar with the difference between forwards and futures; understand the generation and development of forwards and futures, and the trading mechanism; understand the impact of spread risk on the effect of hedging; master the principles of hedging, hedging and speculation using forwards and futures; become familiar with the types of hedging using forwards (futures), perfe