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金融工程B0300493

教师与助教

吴克坤

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

助教：

  • 江波

教学计划

教学计划可能根据教学情况调整

教学内容

序号 主题 时间 讲义 练习
1 金融工程概论 wk1 L01 概论
2 现代投资组合理论 wk2,4 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
3 资产定价与有效市场 wk4-5 L03 有效市场
4 利率、债券与互换 wk6 L04,融资租赁等价融资利率计算,L05 利率,互换
5 远期与期货：套期保值 wk7 L06 期货市场,套期保值
6 远期与期货：定价 wk8 L07 定价
7 期权基础与期权性质 wk9-10 L08 期权市场,期权性质
8 期权策略 wk10-11 期权策略
9 期权定价 wk11-13 L10,L11,L12（选学） 二叉树,维纳过程与伊藤引理,Black-Scholes-Merton模型
10 专题：金融工程与风险管理 wk14 L13 [x]
11 专题：投资组合理论的新进展 wk13 [x]
12 专题：因子投资 wk15 L14 [x]
13 课程项目展示 wk16 [x] [x]

习题课

序号 主题 时间 教室
1 MPT, CAPM, APT & EMH 10/2 18:30-20:50 文澜205
2 Interest Rate, FRA & Swaps 10/15 14:00-17:25 文泰404
3 Forwards & Futures 11/20 15:00-17:30 文泰105
4 Options 12/3 15:00-17:15 文泰105

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.
  7. Ashwin Rao, Tikhon Jelvis. Foundations of Reinforcement Learning with Applications in Finance[M]. Stanford University, 2022.

考核方式

总评成绩构成

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

关于课程项目

  • 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

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.
  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.

金融衍生工具

  1. Jorion, P. “Risk Management Lessons from Long-Term Capital Management,” European Financial Management, 6, 3 (September 2000): 277–300.
  2. Lowenstein, R. When Genius Failed: The Rise and Fall of Long-Term Capital Management. New York: Random House, 2000.
  3. Panaretou, A., M. B. Shackleton, and P. A. Taylor. “Corporate Risk Management and Hedge Accounting,” Contemporary Accounting Research, 30, 1 (Spring 2013): 116–139.
  4. Schrimpf, A., and V. Sushko, “Beyond LIBOR: A Primer on the New Benchmark Rates,” BIS Quarterly, March 2019: 29–52.
  5. 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.
  6. Jarrow, R. A., and G. S. Oldfield. “Forward Contracts and Futures Contracts,” Journal of Financial Economics, 9 (December 1981): 373–82.
  7. Alm, J., and F. Lindskog, “Foreign Currency Interest Rate Swaps in Asset-Liability Management for Insurers,” European Actuarial Journal, 3 (2013): 133–58.
  8. Johannes, M., and S. Sundaresan, “The Impact of Collateralization on Swap Rates,” Journal of Finance, 61, 1 (February 2007): 383–410.
  9. Litzenberger, R. H. “Swaps: Plain and Fanciful,” Journal of Finance, 47, 3 (1992): 831–50.
  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.
  15. Ronn, A. G. and E. I. Ronn. “The Box–Spread Arbitrage Conditions,” Review of Financial Studies, 2, 1 (1989): 91–108.
  16. Coval, J. D. and T. Shumway. “Expected Option Returns,” Journal of Finance, 56, 3 (2001): 983–1009.
  17. Cox, J. C., S. A. Ross, and M. Rubinstein. “Option Pricing: A Simplified Approach,” Journal of Financial Economics 7 (October 1979): 229–64.
  18. Fama, E. F., “The Behavior of Stock Market Prices,” Journal of Business, 38 (January 1965): 34–105.
  19. Kon, S. J., “Models of Stock Returns—A Comparison,” Journal of Finance, 39 (March 1984): 147–65.
  20. Black, F. “Fact and Fantasy in the Use of Options and Corporate Liabilities,” Financial Analysts Journal, 31 (July/August 1975): 36–41, 61–72.
  21. Black, F. “How We Came Up with the Option Pricing Formula,” Journal of Portfolio Management, 15, 2 (1989): 4–8.
  22. Black, F., and M. Scholes, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81 (May/June 1973): 637–59.
  23. Merton, R. C., “Theory of Rational Option Pricing,” Bell Journal of Economics and Management Science, 4 (Spring 1973): 141–83.
  24. Cox, J. C., and S. A. Ross, “The Valuation of Options for Alternative Stochastic Processes,” Journal of Financial Economics, 3 (1976): 145–66.
  25. Smith, C. W., “Option Pricing: A Review,” Journal of Financial Economics, 3 (1976): 3–54
  26. 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.
  27. Roll R. “Orange Juice and Weather,” American Economic Review, 74, 5 (December 1984): 861–80.

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.
  4. Artzner P., F. Delbaen, J.-M. Eber, and D. Heath. “Coherent Measures of Risk,” Mathematical Finance, 9 (1999): 203–28.
  5. 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.
  6. Jamshidian, F., and Y. Zhu. “Scenario Simulation Model: Theory and Methodology,” Finance and Stochastics, 1 (1997): 43–67.
  7. Merton, R. C. “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, 29 (1974): 449–70.
mycourse/financial_engineering.txt · 最后更改: 2022/12/04 23:09 由 kk

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