名称：金融工程 英文版
格式：pdf&ppt
大小：压缩前18.1
作者：宋逄明

Text Book:

Required: 金融工程原理 – 无套利均衡分析（宋逢明，清华大学出版社）

Optional: Options, Futures, and other Derivative Securities (John Hull, Fourth Edition)

金融工程（Marshall, J. F. 和 Bansnal, V..著, 宋逢明等译，清华大学出版社）

内容：

1.Introduction. (Reading: Song Chapter 1)

2.Term structure of interest rate; Interest rate futures and swaps (Reading: Song Chapter 2; Hull Ch 4 &5)

3.Capital Asset Pricing Model. (Reading: Song Chapter 3)

4.APT model (Reading: Song Chapter 4)/Problem set review

5.Midterm.

6.IRS case study/Option pricing and dynamic hedging strategy. (Reading: Song Chapter 5)

7.Black-Scholes model and Greeks. (Reading: Song Chapter 6, Chapter 10-section 4 & 5, Hull ch 11,12 & 13: Black-Scholes analysis; options on indices, currencies, futures)

8.LOR case 1: Portfolio insurance

9.Equivalent martingale and no-arbitrage theory: the Fundamental Theory. (Reading: Song Chapter 7)

10.LOR case 2: the Supertrust

11.
Applications of the Fundamental theory I：Stochastic volatility. (Notes)

12.Applications of the Fundamental theory II: Term Structure Model. (Notes)

13.Case: LTCM

14.Market microstructure: environment, trading methods and market efficiency. (Reading: Song Chapter 9)

15.Review.