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目录

金融工程（双语）B0300483

教师与助教

吴克坤

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

助教：

  • 叶誉博

教学计划

序号 主题 时间 讲义 练习
1 金融工程概论 wk1 L01 概论
2 金融工程原理与方法（线上） wk2 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]
5 投资组合理论(线上) wk5 金融工程导论,L02, L02-CVXPY-QP，L02-coding-example，L02-portfolio-simulation-slides 组合管理基础,组合风险与回报1,组合风险与回报2
6 资本资产定价模型 wk6 L03 有效市场
7 投资组合理论的进展与实践 wk7 L02
8 指数模型与套利定价理论（线上） wk8 金融工程导论
9 专题：资产定价与量化投资策略 wk9 L04,融资租赁等价融资利率计算,L05 利率,互换
10 专题：期货对冲策略 wk10 L06 期货市场,套期保值
11 期权定价：离散时间模型（线上） wk11 金融工程导论 二叉树
12 无套利分析与风险中性定价 wk12
13 专题：期权定价的数值方法 wk13 二叉树
14 期权定价：连续时间模型（线上） wk14 金融工程导论 维纳过程与伊藤引理,Black-Scholes-Merton模型
15 专题：期权交易与风险管理 wk15
16 专题：期权交易策略与期权的应用 wk16 期权策略

习题课

序号 主题 时间 教室
1 MPT, CAPM, APT & EMH TBA TBA
2 Interest Rate, FRA & Swaps TBA TBA
3 Forwards & Futures TBA TBA
4 Options TBA TBA

教材与参考书

  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.

考核方式

  • 习题课+测验：30%
  • 线上学习：30%
  • 期末笔试：40%

主要参考文献

查找文献的方法

金融与金融工程

  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.

现代投资组合理论

  1. Beder T S, Marshall C M. Financial engineering: the evolution of a profession[M]. John Wiley & Sons, 2011.
  2. Markowitz H M. Portfolio selection[J]. The Journal of finance, 1952, 7(1): 77-91.
  3. Markowitz H M. Portfolio selection[M]Portfolio selection. Yale university press, 1968. - Markowitz H M. Mean—variance analysis[M]Finance. Palgrave Macmillan, London, 1989: 194-198.
  4. Cornuejols G, Tütüncü R. Optimization methods in finance[M]. Cambridge University Press; 2006 Dec 21.
  5. Boyd S, Boyd SP, Vandenberghe L. Convex optimization[M]. Cambridge university press; 2004 Mar 8.
  6. Rubinstein M. Markowitz's“ portfolio selection”: A fifty-year retrospective[J]. The Journal of finance, 2002, 57(3): 1041-1045.
  7. Li B, Hoi S C H. Online portfolio selection: A survey[J]. ACM Computing Surveys (CSUR), 2014, 46(3): 1-36.
  8. Gomes F. Portfolio choice over the life cycle: A survey[J]. Annual Review of Financial Economics, 2020, 12: 277-304.
  9. Cochrane JH. Asset pricing: Revised edition[M]. Princeton university press; 2009 Apr 11.
  10. Markowitz HM. The early history of portfolio theory: 1600–1960[J]. Financial analysts journal. 1999 Jul 1;55(4):5-16.
  11. Roy AD. Safety first and the holding of assets. Econometrica: Journal of the econometric society. 1952 Jul 1:431-49.
  12. Lo A W, Foerster S R. In Pursuit of the Perfect Portfolio[M]. Princeton University Press, 2021.

资产定价与有效市场

  1. Chen NF, Roll R, Ross SA. Economic forces and the stock market[J]. Journal of business. 1986 Jul 1:383-403.
  2. Fama E F. Two pillars of asset pricing[J]. American Economic Review, 2014, 104(6): 1467-85.
  3. Fama E F, French K R. The cross‐section of expected stock returns[J]. the Journal of Finance, 1992, 47(2): 427-465.
  4. Carhart MM. On persistence in mutual fund performance[J]. The Journal of finance. 1997 Mar;52(1):57-82.
  5. Fama EF, French KR. A five-factor asset pricing model[J]. Journal of financial economics. 2015 Apr 1;116(1):1-22.
  6. Novy-Marx R. The other side of value: The gross profitability premium[J]. Journal of financial economics. 2013 Apr 1;108(1):1-28.
  7. Hou K, Xue C, Zhang L. Digesting anomalies: An investment approach[J]. The Review of Financial Studies. 2015 Mar 1;28(3):650-705.
  8. Stambaugh RF, Yuan Y. Mispricing factors[J]. The review of financial studies. 2017 Apr 1;30(4):1270-315.
  9. Daniel K, Hirshleifer D, Sun L. Short-and long-horizon behavioral factors[J]. The review of financial studies. 2020 Apr 1;33(4):1673-736.
  10. Liu J, Stambaugh RF, Yuan Y. Size and value in China[J]. Journal of financial economics. 2019 Oct 1;134(1):48-69.
  11. Fama E F. Efficient capital markets: A review of theory and empirical work[J]. The journal of Finance, 1970, 25(2): 383-417.
  12. Fama E F. Efficient capital markets: II[J]. The journal of finance, 1991, 46(5): 1575-1617.
  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.

金融衍生工具

金融工程与风险管理

  1. Longerstaey J, Spencer M. Riskmetricstm—technical document[J]. Morgan Guaranty Trust Company of New York: New York, 1996, 51: 54.
  2. Mina J, Xiao J Y. Return to RiskMetrics: the evolution of a standard[J]. RiskMetrics Group, 2001, 1: 1-11.
  3. Morgan J P. Creditmetrics-technical document[J]. JP Morgan, New York, 1997.
mycourse/financial_engineering_o2o.1666421060.txt.gz · 最后更改: 2023/11/10 12:12 (外部编辑)
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