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1、金融学专业教学大纲Sy I IabusofF i nanc i a I Eng i neer i ngCourse number: 10084006Course Name: Financial EngineeringCourse Credits: 4Course Hours: 64 (on-line experiment: 14 extracurricular practice:)Course Applicable Specialty: FinanceCourse Suggested semester: 6Business SchoolCourse Leader: Zhang Tianxian
2、gPreliminary Courses: Higher Mathematics, Probability and Statistics Economics, Finance, Econometrics, Financial Market.1. The Description and Objective of the CourseDescription of the Course ：This course covers forwards, futures, swaps, and options. By the end of the course, students will have good
3、 knowledge of how these products work, how they are used, how they are priced, and how financial institutions hedge their risks when they trade the products. More advanced material on derivative products and risk management is covered in later electives.Objectives of The course :(1) To enable studen
4、ts to understand and master the basic theory of financial engineering, and to use relevant principles to price financial derivatives such as forward, futures, swaps and options.(2) On the basis of mastering the basic theory, students can be skilled in calculating and simulating with tools and princi
5、ples of financial engineering tosolve the problems in the practice of financial engineering.(3) Guiding students to understand the actual situation of Finance and economy at home and abroad, keeping up with the trend of financial innovation in China, and applying the theory to the practice of financ
6、ial engineering.ILTeaching Content, Basic Requirements and Time DistributionCourse ContentReq -uir eme ntKey()Diffie- ulties ()TimeExp- erim entaRem-arkC2Chapter 1 IntroductionAChapter II: Overview of Forward and2FuturesAChapter III Forward and Futures Pricing81.Forward and Futures PricesB2.Pricing
7、of Forward Contracts forANon-lncome Assets3.Pricing of Forward Contracts forAPayment of Assets with Known CashIncomeA4.Pricing of Forward Contracts forPayment of Assets with Known Rates ofAReturnB5.General conclusions on forward andfutures6.The relationship between forward (futures) price and spot p
8、rice of underlying assetsChapter IV: Application of Forward and Futures1.Hedging with Forward and Futures 2,Arbitrage and speculation using forward and Fu-turesAB22ChapterV Stock Index Futures, Foreign Exchange Forward, Interest Rate Forward and Interest Rate Futures1.Stock Index Futures2 .Foreign E
9、xchange Forward3 .Forward Interest Rate Agreement4.Interest Rate FuturesABBA42Chapter VI: Overview of ExchangeBB2Chapter VII Pricing and Risk Analysis ofSwaps1 .Pricing of Interest Rate Swaps2 .Pricing of Currency Swaps3 .Risks of ExchangeAAB6Chapter VIII The Use of SwapsAA42Chapter IX Options and O
10、ptions MarketA2Chapter X: Return and Price Analysis ofOptionsA21.Option Return and Profit and LossAnalysis2.The Characteristics of Option PriceBChapterXI Black-Schultz-Merton Option Pricing Modell.Ideas ofBlack-Schultz-Merton Option Pricing Model2.The Change Process of Stock Price3.Blake-Schultz-Mer
11、ton Option PricingFormula4.Accuracy Evaluationand Expansion of B-S-M Opti-on PricingAAAB82Chapter XII: The numerical method of option prici-ngB22Chapter XIII Option Trading Strategies and Their ApplicationB2Chapter XIV Stock Index Options, Foreign Excha-nge Options, Futures Options and Interest Rate
12、 OptionsB22Chapter XV Risk ManagementB22(Teaching requirements: A - proficiency; B - mastery; C - understanding)III . experimental projects and time distributionExperimental items: 7 experimental hours: 14NOProject NameTimTypPropertieees1Conversion of interest rates2BA2Spot forward parity and forwar
13、d contract price verification experiment2BA3Base difference validation experiment2BA4The CTD bond delivery verification experiment2BA5Swaps experiment2BA6Experiments on call-put parity, return and price analysis of options2BA7B-S-M option pricing model validation experiment2BAIV Teaching methodsFina
14、ncial Engineering belongs to the course of theory and practice. With the gradual accumulation of teaching and research, an independent theoretical and knowledge system has been formed. The main teaching methods and means of this course are: using multimedia teaching means, combining with cases, usin
15、g heuristic, thematic discussion, computer simulation and other methods to teach.V Course Assessment methods and performance evaluation criteria:The average score accounted for 20-30%, and the final score accounted for 70-80%. Usual assessment methods mainly include attendance and classroom question
16、ing interaction, home work, case/panel discussions, etc. Final examination is mainly written examination (closed paper), but also can consider using thematic papers or reports to assess.VI . Textbooks and main bibliographies:l.Textbooks: Financial Engineering, Edited by Zheng Zhenlong and Chen Rong,
17、 Higher Education Press, 20122.Major bibliography1 Hull, J.C., Options, Futures, and Other Derivatives, 10th Edition. 2018, Pearson Education.2 Li Shujin .Financial Engineering, 2th Edition 2012.Peking University Press, 3.Xiamen University National Excellent Course Home Page of Financial Engineering
18、 (http:/210.34,5.60)VII . The Basis and Explanation for the Compilation of SyllabusThe syllabus of this course is compiled according to the training objectives and requirements of undergraduates majoring in economics and management, adapting to the development trend of economic globalization and the
19、 characteristics of the demand for internationalized talents in the new century, and combining the nature of the course, the basic tasks and requirements of teaching, after being approved by the College Teaching Committee. This outline highlights the basic principles of financial engineering, the pricing of financial instruments, the use of financial instruments, and combines the latest directions and trends of Chinas financial innovation and development to improve the efficiency of the use of financial resources and optimize the allocation of key content.