1、编 写 人编写时间2016.3课程负责人大纲主审人使用教材John.C. hull, Options futures and other derivatives，8ed, Pearson International original edition textbook教学参考资料（1）约翰赫尔著, 王勇等译，期权、期货及其他衍生产品（第八版），机械工业版社，2012年1月。（2）约翰赫尔著，王勇译，期权与期货市场基本原理，机械工业出版社，2008年9月第1版。（3）Salih N. Neftci著，陈典发译，金融工程原理，人民邮电出版社，2009年11月第1版。（4）基思卡思伯森、德克尼奇著，张
2、陶伟 等译，金融工程，中国人民大学出版社，2004年7月。（5）佩里H博蒙特著，金融工程（英文版），中国人民大学出版社， 2007年6月第1版。（6）Yuh-Dauh Lyuu著，金融工程和计算（英文版），高等教育出版社， 2008年5月第1版。课程教学目的金融工程II是金融工程的高级专业课程，学生需要修完金融工程I才能继续学习该课程，是对金融衍生产品的更深入的学习与应用的课程，既是基础课程，又是前沿课程。通过本课程的学习，使学生掌握各种奇异期权的定价原理，数值模拟技术，VaR风险管理原理和模拟技术，信用风险衍生产品的设计和定价原理，信用风险管理。进一步掌握投资组合理论及其应用能力，具有比较熟
3、练的应用无套利原理、现金流复制方法、数学模型、计算机技术处理现实金融问题的能力，能从工程角度理解各种金融工具尤其是金融衍生工具，并能熟练给各种金融工具进行定价、估值。课程教学要求（1）了解金融市场尤其是金融衍生市场的市场结构和交易机制；（2）掌握利用期货的对冲策略；（3）熟练掌握各种利率的计算；（4）理解远期和期货价格的确定原理；掌握远期价格的计算；（5）理解利率期货的基本概念和应用；（6）理解互换的基本概念。掌握互换的定价和估值；（7）了解期权市场的运作、交易策略；（8）理解股票期权价格性质；掌握期权定价的二叉树模型和B-S模型；能够运用两个模型为股票期权、股指期权、货币期权和期货期权定价；
4、（9）理解希腊值的基本概念，能够应用希腊值进行初步地风险管理。本课程的重点和难点 重点：（1）风险管理原理（2）Value at Risk 及其应用；（3） 信用风险及其衍生产品定价（4） 运用数学模型处理金融问题的技能和方法。难点：（1）Value at Risk 的概念及其应用（2）鞅与等价鞅测定；（3）信用风险衍生产品；（4）利率衍生产品课程考试考核方式：平时40%，理论测试60%平时成绩以考勤、课堂表现为主；理论测试以课堂教学的理论内容为主。二、教学时数分配章目教学内容教学时数分配课堂讲授实验（上机）15Employee Stock Options216Options on Stock
5、 Indices and Currencies17Options on Futures18Greek Letters19Volatility Smiles20Basic Numerical Procedures21Value at Risk422Estimating Volatilities and Correlations for Risk Management23Credit Risk24Credit Derivatives525Exotic Options26More on Models and Numerical Procedures27Martingales and Measures
6、28Interest Rate Derivatives: The Standard Market Models30 Models of the Short Rate33Energy and commodity derivatives34Real options合计三、 单元教学目的、教学重难点和内容设置Chapter 15. Employee Stock Options【教学目的】 1. Understand the definition of Employee stock option; 2. Learn the implication and pricing of Employee sto
7、ck option.【重点难点】 The implication of Employee stock option and applications.【教学内容】1. The implication of Employee stock options,2. The pricing of Employee stock options.3. The value of Employee stock option for short and long16. Options on Stock Indices and Currencies1. Learn the options on stock indi
8、ces and currency;2. Understand the implication of options on currency3. Know how to calculate the price of option The pricing of options on stock indices and currencies1. Options on stock indices 2. Currency options 3. Options on stocks paying known dividend yields 4. Valuation of European stock ind
9、ex options 5. Valuation of European currency options 17. Options on Futures1. Understand the futures option natures and pricing;2. Know how to calculate the price of futures option3. Understand the put-call party of futures option.1. The pricing of futures option;2. The put-call party of futures opt
10、ion1 Nature of futures options 2 European spot and futures options 3 Putcall parity 4 Valuation of futures options using binomial trees 5 Blacks model for valuing futures options 6 Futures-style options 18. Greek Letters1. Understand the definition of Greek letters and implications;2. Know how to ca
11、lculate the delta and delta hedging 3. Understand the delta neutral and Gamma neutral1. Delta hedge and Delta neutral;2. Gamma hedge and Gamma neutral1 A stop-loss strategy 2 Delta hedging 3 Theta and Gamma 4 Vega and Rho 5 The realities of hedging 6 Scenario analysis 19. Volatility Smiles1. Underst
12、and the implications of volatility smiles;2. Know how to calculate the volatility implied by option with different underlying assets3. Understand the term construct of volatility implied by option The implication of volatility implied by option1 Why the volatility smile is the same for calls and put
13、s 2 Foreign currency options, Equity options 3 The volatility term structure and volatility surfaces 4 The role of the model 5 When a single large jump is anticipated 20. Basic Numerical Procedures1. Learn the numerical procedures of calculation the price of option;2. Know how to use binomial tree w
14、ith numerical simulation to compute the price of option;3. Know how to use Mone Carlo simulation to calculate the price of option.1. Mone Carlo simulations2. Finite difference mthods1 Binomial trees 2 Using the binomial tree for options on indices, currencies, and futuresContracts 3 Binomial model f
15、or a dividend-paying stock 4 Alternative procedures for constructing trees 5 Time-dependent parameters 6 Monte Carlo simulation 7 Finite difference methods 21. Value at Risk1. Understand the VaR as a measure;2. Know how to calculate VaR from the historical data;3. Know how to simulate VaR;4. Underst
16、and and know the stress testing5. Know how to use Principal components analysis1. Definition of VaR;2. Stress testing3. Principal components analysis.1 The VaR measure 2 Historical simulation 3 Model-building approach 4 The linear model and the quadratic model 5 Monte Carlo simulation 6 Stress testi
17、ng and back testing 7 Principal components analysis 22. Estimating Volatilities and Correlations for Risk Management1. Understand the implication of Volatility and correlation of risk factors2. Understand GARCH model3. Understand the likelihood methods1. The theory of estimation of Volatility and co
18、rrelation2. The theory of GARCH3. Maximum likelihood1 Estimating volatility 2 The GARCH （1,1） model 3 Maximum likelihood methods 4 Correlations 23. Credit Risk1. Learn the definition of Credit risk and understand the credit ratings;2. Understand DP and recovery rates;3. Know how to estimate DP;4. Un
19、derstand the default correction and VaR in credit risk1. Credit ratings;2. Recovery rates and estimation of default probability3. Credit VaR1 Credit ratings 2 Historical default probabilities 3 Recovery rates 4 Default correlation 5 Credit VaR 24. Credit Derivatives1. Learn Credit default swaps;2. U
20、nderstand the valuation of CDS;3. Understand CDS and the relative options4. Know the difference of CDS and CDO1. Pricing of CDS;2. Pricing of CDO;3. Basket credit default swaps and CDO1 Credit default swaps 2 Valuation of credit default swaps 3 CDS forwards and options 4 Role of correlation in a bas
21、ket CDS and CDO 5 Valuation of a synthetic CDO 25. Exotic Options1. Understand what are the exotic options;2. Know how to price the exotic options;3. Understand the difference of exotic options and European options1. The definitions of all exotic options2. The calculation of all exotic options1 Perp
22、etual American call and put options 2 Nonstandard American options 3 Gap options 4 Forward start options 5 Cliquet options 6 Compound options 7 Chooser options 8 Barrier options 9 Lookback options 10 Asian options 11 Static options replication 26. More on Models and Numerical Procedures1. Know the d
23、ifferent models for financial problems.2. Know the more skill of numerical methods1. The relation between different math models;2. Find the simplest numerical procedure for a given model or problem.1 Alternatives to BlackScholesMerton 2 Stochastic volatility models 3 The IVF model 4 Convertible bond
24、s 5 Path-dependent derivatives 6 Monte Carlo simulation and American options 27. Martingales and Measures1. Understand the definition of risk measure;2. Understand the definition of martingale 3. Understand the Change of numeraire1. Risk measure2. Martingale 3. Change of numeraire1 The market price
25、of risk 2 Martingales 3 Extension to several factors 4 Blacks model revisited 5 Change of numeraire 28. Interest Rate Derivatives:1. Learn the definition of interest rate derivatives;2. Understand bond options and European swaps options3. Understand how to hedge interest rate derivatives1. The defin
26、ition of interest rate derivatives;2. Hedging of bond options1 Bond options 2 Interest rate caps and floors 3 European swap options 4 Hedging interest rate derivatives 30. Interest rate derivatives: models of the short rate1. Understand the Equilibrium models2. Understand the no-arbitrage models3. U
27、nderstand the volatility bonds4. Know how to calibrate a model1. The equilibrium models2. The calibration of models.1. Equilibrium models2. No-arbitrage models3. Volatility structures4. Interest rate trees5. Calibration6. Hedging using a one-factor model 33. Energy and commodity derivatives1. Learn
28、some agricultural commodities and energy products;2. Understand the relation between agricultural commodities and derivatives;3. Know the weather derivatives and insurance derivatives;4. Understand the price of energy derivatives;The price of energy derivatives 1 Agricultural commodities and Energy products 2 Modeling commodity prices 3 Weather derivatives and Insurance derivatives 4 Pricing weather and insurance derivati
