工程在和金融市场应用-syllabus mfzxt

SchoolofManagement,FudanMasterofFinanceProgram2015FallSemesterFinancialEngineeringinU.S.andAsiaFinancialMarketsInstructor’sName:Zhu, OfficeCourseCourseThiscourseintroducespracticaltativeyticsandmodelingskillsinthefinancialindustry.Fromindustryapplication,thiscourseutilizescasestudyapproachandexaminesabroadrangeofrelevantissuesinmoderninvestmentbanking.ThemajortopicscoveredareBankingandInvestmentIndustry,tativeResearchinAcademy,MBSandMortgageIndustry,CreditRiskModelingandModelValidations,EquitySalesandTrading,MarketMakingandAlgorithmicTrading,PropTradingStrategies,EquityDerivativesandOTCOptionsMarkets,ArbitrageandRiskHedgingwithOptionsandFuturesandNeuralNetworkbasedFinancialForecasting.Inadditiontotheclassicinvestmenttheories,thiscourseintendstoprovidestudentswithpracticalandusefultativeyticsskillsbyusingtoolslikeSQL,SASand ,aswellasinsightsnecessarytounderstandandworkforthisrapidlychanginginvestmentindustry.CourseLearningGoals(DefinitionofCourseLearningGoals:Whatwewantourstudentstobe通过该课程的学习，学生所LG1:Studentswillbeknowledgeableofmajorbusinessesofmoderninvestmentbanking,includingcreditriskmanagement,equitysalesandtrading,andOTCderivatives.LG2:StudentswillhaveadvanceddatamodelingandtativeCourseFinancialEngineeringApplicationsin(1)FinancialEngineeringinFinancial-InvestmentBanking(InvestmentBankingand-TreasuryandSecurities-Commercial-RetailFinancialServices(AutoFinance,ConsumerBanking,Home-Asset-Private(2)tativeResearchin-ArtificialInligenceApplicationsinFinance-CorporateFinanceandBehaviorFinanceFinancialEngineeringin eandRisk-CreditRisk-Model-IntroductionofSASProgrammingandits-IntroductionofSQLQueryLanguagesanditsFinancialEngineeringinEquitySalesand-IntroductionoftheStructureofInvestmentBank’sEquitySales&Trading-PropTradingStrategies(InternationalArbitrage,IndexArbitrage,StatisticalArbitrage,HighFrequencyTrading,TrendFollowing,EventDrivenStrategies)-AutomatedMarketMakingandAlgorithmicTrading-CSFB’sAdvancedExecutionServices(AES)–Algorithmic-AboutToolboxandObjectOrientedFinancialEngineeringinPrimeServicesandOTC-IntroductiontheStructureoftheSecuritiesCompany’sGlobalFinancialMarkets-PrimeBrokerage(MarginTrading,SecurityLending,SeedingCapital,Execution-OTCDerivatives(DeltaOneTrading,TRS,Options,StructuredFinancialEngineeringintative-TRNNModelinFinancial-BehaviorFinance–MomentumLifeCycle-EventStudybasedMarket CourseCases&PPT,Projects/CasestobeprovidedinTheLittleSASBook:APrimer,5thEdition,SASInstitute,2012,byLoraD.Delwiche,SusanJ.UsingSASinFinancialResearch,SASInstitute,February2002,byEkkehartBoehmer,JohnPaulBroussard,Juha-PekkaKallunki.Murach'sSQLServer2005forDevelopers,MikeMurach&Associates,Incorporated,2007,byBryanSyverson,JoelMurach.:AnIntroductionwithApplications,3rdEdition,2008,byAmosGilatFinancialModeling,3rdEdition,TheMITPress,2008,bySimonBenningaOptions,Futures,andOtherDerivatives,9thEdition,PrenticeHall,2014,byJohnC.CourseLearningObjectivesDefinitionofCourseLearningObjectives：WhatwewantourstudentstodotoachieveLearningAlignmentsofLearningGoalsandLearningLearning1.Eachstudentwillidentifytheresearchquestions,businessmodelsinmajordivisionsofmodernbankingindustry.2.Eachstudentwilldemonstrateabilityofconductingindependenttativeyticsinriskmanagementandtradingstrategies3.Eachstudentwilldemonstrateabilityofdatamodelingor4.Eachstudentwillacquireanddemonstratecompetenceinusingyticaltoolsandinformationprocessingtechnology.5.EachstudentwillbeabletosolveapracticalbusinessproblembyusingappropriatetativetechnologiesandtoolsRubric（评测DefinitionofRubric：Howwemeasure?可参考的部分评测：案例学习，课堂监测，授课内容分析，作业，学习活动记录，测验，成绩分析小组论辩论直观察间接业生成功案例种形式的与汇报问卷，商业践项目的参，随机访等。SampleRubrics:Casestudy,,essay,quiz,Groupwork,discussions,presentation,questionnaire,projects,interviews,etc.MeasurementofLearningObjectivesandLearning1.Eachstudentwillidentifytheresearchquestions,businessmodelsinmajordivisionsofmodernbankingparticipationindiscussions,2.Eachstudentwilldemonstrateabilityofindependenttativeyticsinriskmanagementandtradingstrategiesparticipationindiscussions,3.Eachstudentwilldemonstrateabilityofdatamodelingormanipulationcasestudy,final4.Eachstudentwillacquireanddemonstrateinusingyticaltoolsandinformationprocessingcasestudy,final5.Eachstudentwillbeabletosolveapracticalproblembyusingappropriatetativetechnologiesandtoolscasestudy,finalProcessforIn-classparticipation(20ActivelyparticipateinclassdiscussionandgroupPresentingroupprojectandcaseCaseysis(401）ofassignment2）Provideinsightful3）ProvidepracticalsolutionsornovelFinalProjects(401）ofthe2）Solvingthebusinessproblembyusingdatamodellingandprogramming ProvideinsightandtativeysisontheCourseAcademicStudentsshallfollowthestandardsofacceptableacademicbehaviorofFudan.Thedetailrequirementcanbefoundat/mainAction.do#.StudentsshouldberesponsibilitytoyourownbehaviourbyRepresentingothers’ideasasyourRepresentingagroup’sworkasyourCheatingonin-class CourseLecture1:IntroductionofBanking&InvestmentIndustryLecture2:tativeResearchinAcademyLecture3:AboutBank’sGlobalSecuritizedProductDivision,andMortgageIndustryLecture4:CreditRiskModelingLecture5:RiskModelLecture6:BasicSQLQueryLanguageanditsApplicationsLecture7:BasicSASModelinganditsApplicationsLecture8:CaseStudyofDataModel