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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 L07, L08 定价
13 专题：期权定价的数值方法 wk13 L09, L10 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.1666453506.txt.gz · 最后更改: 2023/11/10 12:12 (外部编辑)
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