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1、Course IntroductionFinancial EngineeringCourse Code：Course Code：Course Name： Financial EngineeringPrerequisites： Higher Mathematics, Probability Theory and Mathematical Statistics, FinanceFollow-up Courses：Bilingual Teaching or Not： NotCredits： 3.0Credits： 3.0Lecture Hours： 42Total Credit Hours： 48E
2、xperiment Hours：Practice Hours： 6Programming Hours：School： 08 School of BusinessTarget Major： FinanceCourse DescriptionFinancial Engineering is one of the professional core courses in finance, as a multidisciplinary field drawing from finance and economics, mathematics, statistics and engineering me
3、thods, with a balance of theory teaching and skills development. This course offers an introduction to the definition of financial derivatives such as futures, options, forwards, swaps and other derivatives, as well as their market mechanism, trading strategies and pricing models. It will familiariz
4、e students with stochastic processes and stochastic calculus as they are useful to price derivative assets. It will help students understand the basic analytical ideas of financial engineering such as no-arbitrage equilibrium analysis, risk-neutral pricing and martingale pricing principles. It will
5、guide students to identify hedging strategies and using derivative instruments to reduce investments risk. Utilizing a large number of relevant case studies, this course will facilitate a better understanding of the current trend of financial innovation, and cultivate the ability of students to thin
6、k innovatively and solve financial engineering problems creatively.Course ResourcesTextbooks :John C. Hull. Options, Futures, and Other Derivatives (Tenth Edition)|M. New York: Pearson Education,2018Bibliography :1. Robert A. Jarrow. Continuous-Time Asset Pricing Theory A Martingale-Based ApproachM.
7、 Cham:Springer, 20182. Zheng Zhenlong, Chen Rong. Financial Engineering (Fourth Edition) M. Beijing: Higher EducationPress, 2016.3. P-C.G. Vassiliou. Discrete-time Asset Pricing Models in Applied Stochastic Finance|M|. Hoboken: JohnWiley & Sons,20104. Marek Capinski, Tomasz Zastawniak. Mathematics for Finance: An Introduction to FinancialEngineeringM. New York: Springer, 2003Reading Materials ： No