金融衍生工具（雙語） 課程教學大綱

1、金融衍生工具（雙語）課程簡介課程編號1240342020課程名稱金融衍生工具（雙語）課程性質選修學 時32學 分2學時分配授課：32 實驗： 上機：0 實踐： 實踐（周）：考核方式閉卷考試，平時成績占30% ，期末成績占70% 。開課學院經(jīng)濟學院更新時間適用專業(yè)金融學、金融工程、財務管理先修課程金融學、金融工程課程內(nèi)容：作為金融學專業(yè)的必修課程，本課程將系統(tǒng)地講授金融衍生工具，包括金融衍生工具市場的運作機制、衍生工具的價格決定以及衍生工具的交易策略等問題。講授的金融衍生工具包括遠期、期貨、互換和期權等基本衍生工具。其中，期貨市場的基本功能、運作機制和交易策略與期權市場的運作機制、交易策略是本課

2、程的重點內(nèi)容。此外，本課程也將適當講解衍生工具在風險管理方面的作用。當今國際金融市場上，衍生工具層出不窮，本課程對衍生工具的介紹自然不可能面面俱到。課程著重突出遠期、互換、期貨和期權等基礎性衍生工具。作為本科階段的衍生工具課程，重點要放在衍生工具的運作機制、基本原理和應用方面，而對于其定價則要把握好適度原則。Brief Introduction Code1240342020TitleFinancial DerivativesCourse natureelectiveSemester Hours32Credits2Semester Hour StructureLecture：32 Experim

3、ent： Computer Lab：0 Practice：Practice (Week)：AssessmentClosed book examination, usually results accounted for 30%, the final grade accounted for 70%.Offered bySchool of EconomicsDate2012-9forFinance, Financial Engineering, Financial AccoutingPrerequisiteFinance, Financial EngineeringCourse Descripti

4、on: As a required course of finance, this course will give lessons systematically about the function mechanism, pricing, and trade strategy of financial derivatives, including forwards, futures, swaps and options, hereinto, the basic function, mechanism and trade strategy of futures and options are

5、emphases. Besides, some knowledge about risk management as to derivatives will be mentioned properly. Nowadays derivatives emerge in so endlessly in the international financial market that we cannot introduce all the derivatives in this course. So, this course will give prominence to forwards, swaps

6、, futures and options. As a undergraduate course, this courses emphases are function mechanism, fundamental principles and applications of derivatives, while the knowledge about pricing is less important and should be given properly.金融衍生工具（雙語）課程教學大綱課程編號1240342020課程名稱金融衍生工具（雙語）課程性質選修學 時32學 分2學時分配授課：3

7、2 實驗： 上機：0 實踐： 實踐（周）：考核方式閉卷考試，平時成績占30% ，期末成績占70% 。開課學院經(jīng)濟學院更新時間2012年9月適用專業(yè)金融學、金融工程、財務管理先修課程金融學、金融工程一、教學內(nèi)容Chapter One Introduction1.1 Exchange-traded markets1.2 Over-the-counter markets1.3 Forward and futures contracts1.4 Options1.5 Types of TradersDifficulties：Options vs Futures/Forwards。Keystones：Sp

8、eculation and Arbitrage。Chapter Two Mechanics of Futures Markets2.1 Margins2.2 Collateralization in OTC Markets2.3 Delivery2.4 Regulation of FuturesDifficulties：Regulation of Futures。Keystones：Margins, Delivery。Chapter Three Hedging Strategies Using Futures3.1 Long & Short Hedges3.2 Convergence of F

9、utures to Spot3.3 Basis Risk3.4 Optimal Hedge Ratio3.5 Changing Beta3.6 Rolling The Hedge Forward Difficulties：Optimal Hedge Ratio。Keystones：Basis Risk, Rolling The Hedge Forward。Chapter Four Swaps4.1 Nature of Swaps4.2 Typical Uses of an Interest Rate Swap4.3 The Nature of Swap Rates4.4 Exchange of

10、 Principal4.5 Other Types of SwapsDifficulties：Typical Uses of an Interest Rate Swap, Exchange of Principal。Keystones：Nature of Swaps, The Nature of Swap Rates。Chapter Five Mechanics of Options Markets5.1 Types of Options5.2 Options positions5.3 Underlying assets5.4 Specification of stock options5.5

11、 trading and Commissions5.6 Margins5.7 The options clearing corporation and WarrantsDifficulties：Specification of stock options, trading and Commissions。Keystones：Types of Options, Options positions, Margins。Chapter Six Real options5.1 Capital investment appraisal5.2 Extension of the risk-neutral va

12、luation framework5.3 Estimating the market price of risk5.4 Application to the valuation of a business5.5 commodity prices5.6 Evaluating options in an investment opportunityDifficulties：Estimating the market price of risk。Keystones：Capital investment appraisal, Application to the valuation of a busi

13、ness。二、教學要求Chapter One IntroductionDesire：Grasp The Nature of Derivatives,Exchange traded and Over-the-counter (OTC) markets, American vs European Options, Futures Contracts; Know well Ways Derivatives are Used.Chapter Two Mechanics of Futures MarketsDesire：Grasp margin defined, Margins minimize, Op

14、en interest, Settlement price, Volume of trading; Know well Available on a wide range of underlyings, Specifications need to be defined, margin requirement, Other Key Points About Futures,Foreign Exchange.Chapter Three Hedging Strategies Using FuturesDesire：Grasp Basis and Basis risk, Choice of Cont

15、ract, Optimal Hedge Ratio, Rolling The Hedge Forward ; Know well Arguments in Favor of Hedging, Arguments against Hedging, Hedging Price of an Individual Stock, Why Hedge Equity Returns.Chapter Four SwapsDesire：Grasp Basis Nature of Swaps, The Nature of Swap Rates,Typical Uses of an Interest Rate Sw

16、ap; Know well Typical Uses of an Interest Rate Swap,Plain VanillaInterest Rate Swap,Exchange of Principal, Financial Institution and Swaps, The Comparative Advantage Argument.Chapter Five Mechanics of Options MarketsDesire：Grasp Option Types, Option Positions, Payoffs from Options, Market Makers, Ma

17、rgins, Warrants; Know well Assets Underlying Exchange-Traded Options, Specification of Exchange-Traded Options, Dividends & Stock Splits.Chapter Six Real optionsDesire：Grasp An Alternative to the NPV Rule for Capital Investments, Correct Discount Rates are Counter-Intuitive, Valuation of Option to Abandon; Know well General Approach to