改地暖费用:求金融工程课程设计

Financial engineering is the innovation process that seeks to adapt existing instruments and processes and to develop new ones so as to enable financial market participants to cope more effectively with the changing environment.
In this course students will learn the basic financial issues and develop the skills to improve the financial decision making, using engineering and operations research techniques. Real examples of financial engineering applications in financial institutions and industrial companies are also included.

本科
研究生
MBA

Orientation
Instructor: Associate Professor NIU Hong
Office: Room #509 Telephone 020-84111976
Textbook: John Hull, Fundamentals of Futures and Options Markets, 4rd Ed., Prentice Hall, 2001

Reference: Scott Mason, Robert Merton, Andre Perold, Peter Tufano, Cases in Financial Engineering - Applied Studies of Financial Innovation, Prentice Hall, 1995
Course Topics: Futures and Forward Markets
Option Markets
Case Studies

Grading Homework
30%

Midterm
30%

Final Exam
40%

Total
100%

讲义（阅读讲义需要Acrobat reader5.0(注：该软件所有版权属于Adobe公司。）
Topic
Subject

1
Introduction

2
Mechanics of Forward and Futures Markets

3
The Determination of Forward and Futures Prices

Topic 03 Appendix - Stock Index FuturesStock Index Futures

4
Hedging Strategies Using Futures

Topic 04 Appendix - Hedging with Forwards and Futures

5
Case Study: Hedging Strategies Using Futures

6
Swaps

Swaps-an example

7
Mechanics of Options Markets

8
Properties of Stock Options

9
Trading Strategies Involving Options

10
An Introduction to Binomial Trees

11
Valuing Stock Options: The Black-Scholes Model

12
Case Study: Valuing Stock Options Using Black-Scholes

13
Options on Stock Indices and Currencies

14
Options on Futures

15
Hedging Positions in Options and the Creation of Options Synthetically

16
Valuing Options Numerically Using Binomial Trees

17
Exotic Options and Other Nonstandard Products

Guest Lecture

Review

Final Examination (tentative)

作业