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--- mycourse:financial_engineering_o2o [2022/10/02 23:52] – [主要参考文献] kk
+++ mycourse:financial_engineering_o2o [2023/11/10 12:13] (当前版本) – 外部编辑 127.0.0.1
@@ 行 22: / 行 22: @@
 | 序号 | 主题 | 时间 | 讲义 | 练习 |
-| 1 | 金融工程概论| wk1 | [[http://kktim.cn/teaching/fe/493/FE-L01.html|L01]] | [[https://ks.wjx.top/jq/100916625.aspx|概论]] | [x] |
+| 1 | 金融工程概论| wk1 | [[http://kktim.cn/teaching/fe/493/FE-L01.html|L01]] | [[https://ks.wjx.top/jq/100916625.aspx|概论]] |
-| 2 | 金融工程原理与方法（线上） | wk2 | [[https://next.xuetangx.com/course/THU02031000333/12424064|金融工程导论]] | x |
+| 2 | 金融工程原理与方法（线上） | wk2 | [[https://next.xuetangx.com/course/THU02031000333/12424064|金融工程导论]] | [x] |
 | 3 | 专题：金融工程与我国金融市场 | wk3 | [x] | [x] |
 | 4 | 利率期限结构 | wk4  | [x] | [x] |
@@ 行 30: / 行 30: @@
 | 7 | 投资组合理论的进展与实践 | wk7 | [[http://kktim.cn/teaching/fe/493/FE-L02.html|L02]] |  |
 | 8 | 指数模型与套利定价理论（线上） | wk8 | [[https://next.xuetangx.com/course/THU02031000333/12424064|金融工程导论]] |  |
-| 9 | 专题：资产定价与量化投资策略 | wk9 |  |  |
+| 9 | 专题：资产定价与量化投资策略 | wk9 | [[http://kktim.cn/teaching/fe/493/FE-L04.html|L04]],[[http://kktim.cn/teaching/fe/tutorials/financial_leasing.pdf|融资租赁等价融资利率计算]],[[http://kktim.cn/teaching/fe/493/FE-L05.html|L05]] | [[https://ks.wjx.top/jq/100916539.aspx|利率]],[[https://ks.wjx.top/jq/100916783.aspx|互换]] |
-| 10 | 专题：期货对冲策略 | wk10 |  | [[https://ks.wjx.top/jq/100916606.aspx|期货市场]],[[https://ks.wjx.top/jq/100916569.aspx|套期保值]] |
+| 10 | 专题：期货对冲策略 | wk10 | [[http://kktim.cn/teaching/fe/493/FE-L06.html|L06]] | [[https://ks.wjx.top/jq/100916606.aspx|期货市场]],[[https://ks.wjx.top/jq/100916569.aspx|套期保值]] |
 | 11 | 期权定价：离散时间模型（线上） | wk11 | [[https://next.xuetangx.com/course/THU02031000333/12424064|金融工程导论]] | [[https://ks.wjx.top/jq/100880333.aspx|二叉树]] |
-| 12 | 无套利分析与风险中性定价 | wk12 |  |  |
+| 12 | 无套利分析与风险中性定价 | wk12 | [[http://kktim.cn/teaching/fe/493/FE-L07.html|L07]], [[http://kktim.cn/teaching/fe/493/FE-L08.html|L08]] | [[https://ks.wjx.top/jq/100916961.aspx|定价]] |
-| 13 | 专题：期权定价的数值方法 | wk13 |  | [[https://ks.wjx.top/jq/100880333.aspx#|二叉树]] |
+| 13 | 专题：期权定价的数值方法 | wk13 | [[http://kktim.cn/teaching/fe/493/FE-L10.html|L10]] | [[https://ks.wjx.top/jq/100880333.aspx#|二叉树]] |
 | 14 | 期权定价：连续时间模型（线上） | wk14 | [[https://next.xuetangx.com/course/THU02031000333/12424064|金融工程导论]] | [[https://ks.wjx.top/jq/100880296.aspx|维纳过程与伊藤引理]],[[https://ks.wjx.top/jq/100880282.aspx|Black-Scholes-Merton模型]] |
-| 15 | 专题：期权交易与风险管理 | wk15 |  |  |
+| 15 | 专题：期权交易与风险管理 | wk15 | [[http://kktim.cn/teaching/fe/493/FE-L11.html|L11]] |  |
-| 16 | 专题：期权交易策略与期权的应用 | wk16 |  | [[https://ks.wjx.top/jq/100880357.aspx#|期权策略]] |
+| 16 | 专题：期权交易策略与期权的应用 | wk16 | [[http://kktim.cn/teaching/fe/493/FE-L09.html|L09]] | [[https://ks.wjx.top/jq/100880357.aspx#|期权策略]] |
+==== 习题课 ====
+| 序号 | 主题 | 时间 | 教室 |
+| 1 | [[http://kktim.cn/teaching/fe/tutorials/FE-Tutorial-01.html|MPT, CAPM, APT & EMH]] | 11.06 9:30-11:50 | 文泰108 |
+| 2 | [[http://kktim.cn/teaching/fe/tutorials/FE-Tutorial-02.html|Interest Rate, FRA & Swaps]] | 11.13 9:30-11:50 | 文泰105 |
+| 3 | [[http://kktim.cn/teaching/fe/tutorials/FE-Tutorial-03.html|Forwards & Futures]] | 12.4 9:30-11:45 | 文泰105 |
+| 4 | [[http://kktim.cn/teaching/fe/tutorials/FE-Tutorial-04.html|Options]] | TBA | TBA |
@@ 行 104: / 行 112: @@
   - Nagel S. Machine learning in asset pricing. InMachine Learning in Asset Pricing[M]. 2021 Jun 7. Princeton University Press.
   - Chen L, Pelger M, Zhu J. Deep learning in asset pricing. arXiv preprint arXiv:1904.00745. 2019 Mar 11.
+  - 石川，刘洋溢，连祥斌. 因子投资：方法与实践[M]. 北京：电子工业出版社，2020.
 ==== 金融衍生工具 ====
-  -
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+  - Lowenstein, R. When Genius Failed: The Rise and Fall of Long-Term Capital Management. New York: Random House, 2000.
+  - Panaretou, A., M. B. Shackleton, and P. A. Taylor. “Corporate Risk Management and Hedge Accounting,” Contemporary Accounting Research, 30, 1 (Spring 2013): 116–139.
+  - Schrimpf, A., and V. Sushko, “Beyond LIBOR: A Primer on the New Benchmark Rates,” BIS Quarterly, March 2019: 29–52.
+  - Cox, J. C., J. E. Ingersoll, and S. A. Ross. “The Relation between Forward Prices and Futures Prices,” Journal of Financial Economics, 9 (December 1981): 321–46.
+  - Jarrow, R. A., and G. S. Oldfield. “Forward Contracts and Futures Contracts,” Journal of Financial Economics, 9 (December 1981): 373–82.
+  - Alm, J., and F. Lindskog, “Foreign Currency Interest Rate Swaps in Asset-Liability Management for Insurers,” European Actuarial Journal, 3 (2013): 133–58.
+  - Johannes, M., and S. Sundaresan, “The Impact of Collateralization on Swap Rates,” Journal of Finance, 61, 1 (February 2007): 383–410.
+  - Litzenberger, R. H. “Swaps: Plain and Fanciful,” Journal of Finance, 47, 3 (1992): 831–50.
+  - Purnanandan, A. “Interest Rate Derivatives at Commercial Banks: An Empirical Investigation,” Journal of Monetary Economics, 54 (2007): 1769–1808.
+  - Bharadwaj, A. and J. B. Wiggins. “Box Spread and Put–Call Parity Tests for the S&P Index LEAPS Markets,” Journal of Derivatives, 8, 4 (Summer 2001): 62–71.
+  - Chaput, J. S., and L. H. Ederington, “Option Spread and Combination Trading,” Journal of Derivatives, 10, 4 (Summer 2003): 70–88.
+  - McMillan, L. G. Options as a Strategic Investment, 5th edn. Upper Saddle River, NJ: Prentice Hall, 2012.
+  - Rendleman, R. J. “Covered Call Writing from an Expected Utility Perspective,” Journal of Derivatives, 8, 3 (Spring 2001): 63–75.
+  - Ronn, A. G. and E. I. Ronn. “The Box–Spread Arbitrage Conditions,” Review of Financial Studies, 2, 1 (1989): 91–108.
+  - Coval, J. D. and T. Shumway. “Expected Option Returns,” Journal of Finance, 56, 3 (2001): 983–1009.
+  - Cox, J. C., S. A. Ross, and M. Rubinstein. “Option Pricing: A Simplified Approach,” Journal of Financial Economics 7 (October 1979): 229–64.
+  - Fama, E. F., “The Behavior of Stock Market Prices,” Journal of Business, 38 (January 1965): 34–105.
+  - Kon, S. J., “Models of Stock Returns—A Comparison,” Journal of Finance, 39 (March 1984): 147–65.
+  - Black, F. “Fact and Fantasy in the Use of Options and Corporate Liabilities,” Financial Analysts Journal, 31 (July/August 1975): 36–41, 61–72.
+  - Black, F. “How We Came Up with the Option Pricing Formula,” Journal of Portfolio Management, 15, 2 (1989): 4–8.
+  - Black, F., and M. Scholes, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81 (May/June 1973): 637–59.
+  - Merton, R. C., “Theory of Rational Option Pricing,” Bell Journal of Economics and Management Science, 4 (Spring 1973): 141–83.
+  - Cox, J. C., and S. A. Ross, “The Valuation of Options for Alternative Stochastic Processes,” Journal of Financial Economics, 3 (1976): 145–66.
+  - Smith, C. W., “Option Pricing: A Review,” Journal of Financial Economics, 3 (1976): 3–54
+  - French, K. R., and R. Roll “Stock Return Variances: The Arrival of Information and the Reaction of Traders.” Journal of Financial Economics, 17 (September 1986): 5–26.
+  - Roll R. “Orange Juice and Weather,” American Economic Review, 74, 5 (December 1984): 861–80.
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   - Mina J, Xiao J Y. Return to RiskMetrics: the evolution of a standard[J]. RiskMetrics Group, 2001, 1: 1-11.
   - Morgan J P. Creditmetrics-technical document[J]. JP Morgan, New York, 1997.
+  - Artzner P., F. Delbaen, J.-M. Eber, and D. Heath. “Coherent Measures of Risk,” Mathematical Finance, 9 (1999): 203–28.
+  - Basak, S., and A. Shapiro. “Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices,” Review of Financial Studies, 14, 2 (2001): 371–405.
+  - Jamshidian, F., and Y. Zhu. “Scenario Simulation Model: Theory and Methodology,” Finance and Stochastics, 1 (1997): 43–67.
+  - Merton, R. C. “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, 29 (1974): 449–70.