《金融经济学全英文2》课程教学大纲

1、金融经济学全英文2课程教学大纲一、课程基本信息课程名称：金融经济学课程代码：131602 学 分：3学 时：3学时/课，共54学时。二、任课教师、助教、教室等情况（四）教 室：H307 （五）上课时间：每周一下午5-7节（六）纪 律：1、无特殊情况，不允许无故缺课。2、每次作业须在规定时间内提交，作业需独立完成，不得有抄袭现象，一经发现，均记零分。三、阅读材料（一）教材：Bailey R.E. The Economics of Financial Markets, Cambridge University Press, 2005; 世界图书出版公司2014影印版（二）参考书1. Bodie,

2、Z., R. Merton, and D. Cleeton, Financial Economics, Prentice Hall, 2nd edition, 2008.2. Bodie, Z., A. Kane, and A. Marcus, Investments, McGraw-Hill Education, 9th edition, 2012.3. Fabozzi, F., E. Neave, and G. Zhou, Financial Economics, John Wiley & Sons, 2012.四、课程内容概要课程以习近平新时代中国特色社会主义思想为指导，深入贯彻落实习总

3、书记在全国高校思想政治工作上的讲话精神，将专业课程与思政教育相结合，将知识传递与价值引领有机融入，培养学生的政治意识、大局意识、核心意识、看齐意识；树立正确的社会主义核心价值观，以扎根中国大地为基础，以中国实践为依托，培养合格的新时代中国特色社会主义合格建设者和可靠接班人。 课程的主要任务是帮助学生理解金融市场运行的逻辑、树立正确的金融分析思维，特别正确认识“风险收益权衡关系”这一资本市场的核心思想，为后续的金融专业课程学习打好理论基础。由于现代金融学其学科的开创性和前沿性的研究大多数在西方国家展开的大背景下，本课程将坚持正确的价值引领，将金融学理论知识与我国国情充分结合，努力实现专业教育与社

4、会主义核心价值观教育的互融共通。授课内容虽然侧重理论模型的介绍，但是在整个课程学习中，将风险的概念一直贯穿始终，让学生充分认识风险在资本市场的作用。结合“十九大”报告指出的防范重大风险是当前国家面临的一项重要任务，在课程每讲涉及的案例或实证发现的讨论中加入与风险有关的内容。课程虽为全英文课程，但要让学生充分认识我国资本市场在我国经济运行中发挥的重要作用，了解中国资本市场发展状况、现象、制度设计等国情。（一）课程目标The objective of the course is to provide a rigorous treatment of theory in modern finance

5、including CAPM, the fundamental theorem of asset pricing and its application in pricing contingent claims.Learning OutcomesStudents are expected tounderstand the expected utility theory and competing measures of risk aversionunderstand the mathematics associated with the mean-variance analysis and p

6、ortfolio choices by rational investors understand the economical concepts associated with the fundamental theorem of asset pricing and to appreciate its usefulness in financebe able to apply the fundamental theorem for pricing contingent claims, and to be able to establish the relationship between t

7、he price of primary securities and those of derivative securitiesbe able to derive CRRs binomial option pricing model by applying the fundamental theorem（二）课程内容序号题目知识点学时（课堂教授）1Asset markets and asset pricesThe main types of capital marketsFundamental principles of asset price determination Arbitrage

8、Asset market efficiencyChinese stock market development42Predictability of prices and market efficiency Random walks of asset prices and martingales Asset market efficiency and anomaliesAnomalies in Chinese stock marketPrice impact of informed trades- Kyle (1985) model83Decision making under uncerta

9、intyExpected utility theoryRisk aversion and the measure of risk aversionRisk aversion and portfolio choice44Portfolio choice problem and mean-variance analysisOptimal choice problemMarkowitz Efficient frontier85The capital asset pricing modelMarket portfolioThe capital asset pricing modelCapital ma

10、rket line and security market line36ArbitrageNo arbitrage and state pricesRisk neutral probabilities47Factor models and the arbitrage pricing theorySingle factor modelMulti factor modelAPT58Empirical appraisal of the CAPM and APTEmpirical examination of CAPMFama-French (1993) three factor model310Op

11、tion marketsCall options and put optionsPut-call parityCox-Ross-Rubinstein (CRR)s binomial option pricing model6课时总计：51学时课程教授（45学时）+项目展示（3学时）+平时测验（3学时）（三）课程要求1.课前课后按每次讲义要求进行课前预习和课后复习。2.作业：请在规定时间内提交作业，逾期不收。每次作业都将登记。作业请独立完成，若发现有抄袭，不计成绩，请认真对待。3.课程包含一次项目报告和展示，学生以小组的形式参加项目，具体要求参照项目内容。（四）课程安排课程讲授内容授课方式作业(

12、教材)/测验辅助学习材料1Lecture 1 Asset markets and asset pricesThe main types of capital marketsFundamental principles of asset price determination 讲授课外阅读文献查询、阅读Bailey Chapter 1，各大财经媒体有关中国资本市场的介绍融资融券政策有关内容Shanghai Stock Exchange,Shenzhen Stock Exchange, etc.2Lecture 1 Asset markets and asset pricesArbitrageMa

13、rgin tradingLecture 2 Predictability of prices and market efficiency1.Random walks of asset prices and martingales 讲授课外阅读文献查询、阅读Bailey Chapter 1，各大财经媒体有关中国资本市场的介绍阅读推荐融资融券有关文章3Lecture 2 Predictability of prices and market efficiency2.Asset market efficiency and anomalies讲授课外阅读学习编程语言文献查询、阅读Bailey, Cha

14、pter 2&3Malkiel, B. G. (2011) , A Random Walk down Wall Street, Norton, completely revised and updated edition.Shiller, R. J. (2006), Irrational Exuberance, Crown, 2nd edition. 非理性繁荣Shleifer, A. (2000), Inefficient Markets: An Introduction to Behavioral Finance, Oxford University Press.A little SAS

15、book等，自学SAS语言4Lecture 2 Predictability of prices and market efficiency3.Price impact of informed trades- Kyle (1985) modelProject 1 presentation讲授课外阅读作业1Bailey, Chapter 2&3Malkiel, B. G. (2011) , A Random Walk down Wall Street, Norton, completely revised and updated edition.Shiller, R. J. (2006), Ir

16、rational Exuberance, Crown, 2nd edition. 非理性繁荣Shleifer, A. (2000), Inefficient Markets: An Introduction to Behavioral Finance, Oxford University Press. 5Lecture 3 Decision making under uncertaintyExpected utility theoryRisk aversion and the measure of risk aversion讲授课外阅读文献查询、阅读Bailey,Chapter4Fabozzi

17、, F., E. Neave, and G. Zhou, Financial Economics, John Wiley & Sons, 2012, Ch. 9.Elton, E., M. Gruber, S. Brown and W. Goetzmann, Modern Portfolio Theory and Investment Analysis，John Wiley, 7th, 2007, Ch. 106Lecture 3 Decision making under uncertaintyRisk aversion and portfolio choice讲授课外阅读阅读Bailey,

18、Chapter4Fabozzi, F., E. Neave, and G. Zhou, Financial Economics, John Wiley & Sons, 2012, Ch. 9.Elton, E., M. Gruber, S. Brown and W. Goetzmann, Modern Portfolio Theory and Investment Analysis，John Wiley, 7th, 2007, Ch. 107Lecture 4 Portfolio choice problem and mean-variance analysisOptimal choice p

19、roblem讲授课外阅读文献查询、阅读Bailey, Chapter 5Bodie, Kane and Marcus, Investments, McGraw Hill, 8th. 2009, chapter 6 &7Bodie, Z., R. Merton, D. Cleeton, Financial Economics, Prentice Hall, 2nd edition, 2008, chapter 10, 11. 8Lecture 4 Portfolio choice problem and mean-variance analysisMarkowitz Efficient fron

20、tier讲授课外阅读作业2Bailey, Chapter 5Bodie, Kane and Marcus, Investments, McGraw Hill, 8th. 2009, chapter 6 &7Fabozzi, F., E. Neave, and G. Zhou, Financial Economics, John Wiley & Sons, 2012, chapter 139Lecture 5 The capital asset pricing modelMarket portfolioThe capital asset pricing modelCapital market l

21、ine and security market line讲授课外阅读文献查询、阅读Bailey, Chapter 6Bodie, Z., R. Merton, D. Cleeton, Financial Economics, Prentice Hall, 2nd edition, 2008, Ch13. Bodie, Kane and Marcus, Investments, McGraw Hill, 8th. 2009, Ch 9,13. 10Quiz 1Lecture 6 ArbitrageNo arbitrage and state prices考试讲授课外阅读阅读Bailey, Cha

22、pter 711Lecture 6 ArbitrageComplete marketRisk neutral probability讲授课外阅读文献查询、阅读Bailey, Chapter 7Bodie, Kane and Marcus, Investments, McGraw Hill, 8th. 2009, Ch 8,10. 12Lecture 7 Factor models and the arbitrage pricing theorySingle factor modelMulti factor modelArbitrage pricing theory讲授课外阅读文献查询、阅读作业

23、 3Bailey, Chapter 8Bodie, Kane and Marcus, Investments, McGraw Hill, 8th. 2009, Ch 8,10. 13Lecture 8 Empirical appraisal of the CAPM and APTEmpirical examination of CAPMFama-French (1993) three factor model讲授课外阅读文献查询、阅读Bailey, Chapter 9Bodie, Kane and Marcus, Investments, McGraw Hill, 8th. 2009, Ch.

24、 13.Fama, E.F., and K.R. French (1992), The Cross-Section of Expected Stock Returns, Journal of Finance, 47, 427-465.Fama, E.F., and K.R. French (1993), Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics, 33, 3-56.14Lecture 8 Empirical appraisal of the CAPM and APTFama-French (1993) three factor modelQuiz 2讲授课外阅读文献查询、阅读Bailey, Chapter 9Bodie, Kane and Marcus, Investments, McGraw Hill, 8th. 2009, Ch. 13.Fama, E.F., and K.R. French (1992), The Cross-Section of Expected Stock Returns, Journal of Finance, 47, 427-465.Fama, E.F., an