Course description

Financial engineering is a course of great comprehensiveness, theoretical property and applicability. The related content of the course is financial pricing, financial risk management, etc. The study of this course helps students understand the function of financial engineering in modern market economy, and master the approach and method of financial investment and risk management with financial engineering tools.

Course Learning Objectives:

The student learning outcomes are what student would be able to know and to do on the completion of this course. In details are:

1. Get to know the available investment tools in derivative stock market and the operation of derivative stock market;

2. Master basic theory and pricing method of derivative stock investment;

3. Lay foundation for possible work in financial stock and further study in financial direction.

Pre-course

Higher Mathematics, Western Economics, Investment

Textbooks and References

Teaching Materials:

Financial Engineering, Zheng ZhenLong, Chen Rong, Higher Education Press, 2008.7, Edition 2.

Reference：

1. Financial Engineering, translated byTang Xu, Economic Science Press, 1998, Edition 1.

2. Financial Engineering, Zhou LuoHua,Shanghai, Shanghai university of finance and economics press, 2004, Edition 1.

3. Financial Engineering, Fan ZhenLong, Hu Wei, Shanghai People's Publishing House, 2003, Edition 1.

4. Financial Engineering, Chen GongMeng, Wu WenFeng, Zhu Yun, Tsinghua university Press, 2003, Edition1.

5. Financial Engineering, Liu JinBao, Wenhui Press, 1998, Edition 1.

6. Financial Engineering, Sun JingLong, China Finance Publishing House, 2001, Edition 1.

Course Assessment

Form	Weight (%)
Attendance	20%
homework	20%
Final exam	60%

Course schedule

Chapter	Content	classes
1	Overview of financial engineering	3
2	Summary of forwards and futures	3
3	Futures simulated trading	3
4	The forward and futures pricing	3
5	The use of the forward and futures	3
6	Summary of swap	3
7	Swap pricing and risk analysis	3
8	The use of the swap	3
9	Options and options market	3
10	The option returns with a price analysis	3
11	Black Schoels Merton option pricing model	3
12	The numerical method of option pricing	3
13	Options trading strategy and its application	3
14	Risk management	3
Total		42

Note:Senior class arranged in 1-9 weeks. By getting rid of the Mid-Autumn festival and National Day holidays, practical teaching time is actually only 7 weeks of the semester, a total of 42 hours.