金融工程B0300493

吴克坤

• Email: kkwu#zuel.edu.cn (Pls replace # with @)
• Wechat:

助教：

• 江波

教学计划可能根据教学情况调整

1. 张金林，李志生. 金融工程学[M]. 北京：高等教育出版社，2015.
2. Hull, John C. Options futures and other derivatives, 11th ed[M]. New York, NY : Pearson, 2022.
3. 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.
4. Hull J. Risk management and financial institutions, 5th Edition[M]. John Wiley & Sons, 2018.
5. McNeil A J, Frey R, Embrechts P. Quantitative risk management: concepts, techniques and tools-revised edition[M]. Princeton university press, 2015.
6. Nagel, Stefan. Machine Learning in Asset Pricing[M]. Princeton University Press, 2021.
7. Ashwin Rao, Tikhon Jelvis. Foundations of Reinforcement Learning with Applications in Finance[M]. Stanford University, 2022.

• 习题课：10%
• 测验：20%
• 课程项目：20%
• 期末笔试：50%

• 复现经典论文
• 复现报告
  • 小组报告
    • 篇幅：正文3-5页（A4, 5号字, 1.25倍行距）
    • 附件：数据来源与说明、程序代码
    • 小组报告应包含以下内容：论文介绍、复现该论文的理由、复现过程、结果与比较、下一步工作
  • 个人报告
    • 篇幅：正文1页（A4, 5号字, 1.25倍行距），一般不含附件
    • 小组报告应包含以下内容：小组分工与个人贡献、项目心得
• 提交报告
  • 提交方法
    • 仅需提交电子版
    • 以小组为单位提交
    • 提交链接：

• 格式要求
  • 请按照小组报告正文、小组报告附件清单、个人报告的顺序合并成一个文档（word）
  • 文件应以“小组编号-项目标题-成员姓名”格式命名
  • 文档应包含封面、目录
  • 封面应包含项目标题、班级、小组编号、（全体小组成员）姓名、学号等信息
  • 个人报告页应有报告人姓名
• DDL：2022-12-03

查找文献的方法

1. 孙大权. “金融”一词在中国近代的起源,演变及当代启示[J]. 复旦学报：社会科学版, 2019(4):11.
2. 艾俊川. “金融”与“银行”丛考. 中国钱币论文集(第六辑), 2016-09
3. 黄达. 金融学学科建设若干问题[J]. 中央财经大学学报, 2000 (9): 1-7.
4. Miller M H. The history of finance[J]. The Journal of Portfolio Management, 1999, 25(4): 95-101.
5. Ross S. “Finance” in Durlauf S, Blume L E. The new Palgrave dictionary of economics[M]. Springer, 2016.
6. Lo A W. Robert C. Merton: The First Financial Engineer[J]. Annual Review of Financial Economics, 2020, 12:1-18.

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5. Boyd S, Boyd SP, Vandenberghe L. Convex optimization[M]. Cambridge university press; 2004 Mar 8.
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13. Campbell JY. Empirical asset pricing: Eugene fama, lars peter hansen, and robert shiller[J]. The Scandinavian Journal of Economics. 2014 Jul;116(3):593-634.
14. Gu S, Kelly B, Xiu D. Empirical asset pricing via machine learning. The Review of Financial Studies. 2020 May 1;33(5):2223-73.
15. Nagel S. Machine learning in asset pricing. InMachine Learning in Asset Pricing[M]. 2021 Jun 7. Princeton University Press.
16. Chen L, Pelger M, Zhu J. Deep learning in asset pricing. arXiv preprint arXiv:1904.00745. 2019 Mar 11.
17. 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.

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4. Schrimpf, A., and V. Sushko, “Beyond LIBOR: A Primer on the New Benchmark Rates,” BIS Quarterly, March 2019: 29–52.
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7. Alm, J., and F. Lindskog, “Foreign Currency Interest Rate Swaps in Asset-Liability Management for Insurers,” European Actuarial Journal, 3 (2013): 133–58.
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10. Purnanandan, A. “Interest Rate Derivatives at Commercial Banks: An Empirical Investigation,” Journal of Monetary Economics, 54 (2007): 1769–1808.
11. 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.
12. Chaput, J. S., and L. H. Ederington, “Option Spread and Combination Trading,” Journal of Derivatives, 10, 4 (Summer 2003): 70–88.
13. McMillan, L. G. Options as a Strategic Investment, 5th edn. Upper Saddle River, NJ: Prentice Hall, 2012.
14. Rendleman, R. J. “Covered Call Writing from an Expected Utility Perspective,” Journal of Derivatives, 8, 3 (Spring 2001): 63–75.
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1. Longerstaey J, Spencer M. Riskmetricstm—technical document[J]. Morgan Guaranty Trust Company of New York: New York, 1996, 51: 54.
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6. Jamshidian, F., and Y. Zhu. “Scenario Simulation Model: Theory and Methodology,” Finance and Stochastics, 1 (1997): 43–67.
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