吴克坤

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

助教：

• TBA

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.

• 平时测验：30%
  • 通过雨课堂线上完成
  • 全部为单选题
  • 错题订正（通过百度网盘提交）后可得到80%分数
• 课程项目：20%
  • 体现创新性
  • 通过百度网盘提交
• 期末笔试：50%
  • 体现高阶性、挑战度

• 课程项目内容（须与本课程内容密切相关）
  • 复现经典论文
  • 量化交易策略
  • 金融产品设计
  • 探索性研究
• 项目报告
  • 小组报告
    • 篇幅：（建议）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：
      • （以论文复现为例）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
  • 项目展示视频
    • 建议10分钟左右
• 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：TBA
  • 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
  • DDLs（逾期可能扣分）
    • 分组：2024-03-07
    • 确定选题：2023-03-14
    • 提交报告、视频：2023-04-16

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.

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.

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.

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.
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