《金融衍生品定价》课程教学大纲

1、金融衍生品定价课程教学大纲一、课程基本信息课程名称：金融衍生品定价课程代码：学 分：学 时：3学时/课，共54学时。二、任课教师、教学助理、教室等情况（四）教 室：（五）上课时间：（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。三、阅读材料主要资料：教师讲义参考教材:Option、Future and Other Derivatives ;John Hull （7th edn.）； NewYork An Introduction to the Mathematics of Financial Derivatives （2nd edn.）; Salih N. Neft

2、ci四、课程内容概要（一）课程目标Introduction to pricing principle and hedging techniques in derivative marketsProvide an understanding of different derivative instrumentsDevelop working knowledge on the use of derivatives in risk ManagementProvide necessary skills to value derivative instruments（二）教学内容:序号早下知识点学时1第

3、一章Introduction to Derivative做到脑中有科学52第二章Pricing Futures/Forward153第三章Hedging with Futures154第四章Swap95第五章Fundamentals of Options56第六章Trading Strategies Involving Options7第七章Stochastic process andStochastic Integral8第八章Continuous Time Model &B-S PDE9第九章Least-Squares MonteCarloApproach坚持心中有道义10第十章*Vola

4、tility Smile注：标*的章节表示，有时间就讲解。Topics CoveredIntroduction of four main derivative instruments - forwards, futures, options & swaps.Fundamental valuation principleHedging/Trading/Risk management using these derivatives.（三）课程要求.以教材为蓝本，结合教师的教案：课堂进行随机抽查回答与作业、课程论 文结合方式。.平时课后作业：每一章一次project，按时上交，下一章进行课堂讲解。（

5、四）教学安排周 次章节内容授课 方式课 时作业/测验辅助 资料1About FinanceFinancial Derivatives 做个具有良好科学素 养的大学生讲授3教师的教案，网络资 源2Financial DerivativesOptions讲授3Projectl: AboutDerivative3Pricing ForwardValue of a forward v.s. forward priceFutures price v.s. forward price讲授3教师的教案42.4 Impact of delivery options on futures prices3.1 H

6、edging using futures讲授353.2 Basis and Basis risk讲授3教师的教案，网络资 源6Optimal HedgingFuther Learning about hedge讲授3Project2:HedgingExample:usingfutures7Currence SwapPricing Swap讲授3教师的教案85.1 Option Preliminary讲授35.2 Practical Market9Factors affecting option PriceValue analysis讲授3教师的教案，网络资 源10Put-call Parity

7、Relationship btw American options 思维与思辨3Projects： OptionProperty checking11Types of Strategy with optionSingle option positionCombine options with underlying3教师的教案，网络资 源12More options in same typeCombination of call and putsHedging example3Project4: Trading strategy13Probability spaceExpectationWien

8、er processIto process讲授3Projects：Stockpricepathsimulation教师的教案14Ito lemmaB-S PDE单元测 验315B-S option pricing formulaVolatility & Paremetre estimate讲授3Project6: Paremetre estimatesusingmarket data教师的教案，网络_资源16LSMC approachLSMC implementaion讲授3179.2 LSMC implementaion *10.1 Volatility Smile 财经素养与人文素养讲授3课程论