《金融衍生工具（双语）》课程教学大纲

1、金融衍生工具（双语）课程教学大纲课程编号1240342020课程名称金融衍生工具（双语）课程性质限选学 时32学 分2学时分配授课：32   实验： 上机：0   实践：    实践（周）：考核方式闭卷考试，平时成绩占30% ，期末成绩占70% 。开课学院经济学院更新时间2020年9月适用专业金融学、金融工程、财务管理先修课程金融学、金融工程一、教学内容Chapter One Introduction1.1 Exchange-traded markets1.2 Over-the-counter markets1.3 Forward a

2、nd futures contracts1.4 Options1.5 Types of TradersDifficulties：Options vs Futures/Forwards。Keystones：Speculation 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：Mar

3、gins, Delivery。Chapter Three Hedging Strategies Using Futures3.1 Long & Short Hedges3.2 Convergence of Futures 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

4、Swaps4.1 Nature of Swaps4.2 Typical Uses of an Interest Rate Swap4.3 The Nature of Swap Rates4.4 Exchange of 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 Option

5、s Markets5.1 Types of Options5.2 Options positions5.3 Underlying assets5.4 Specification of stock options5.5 trading and Commissions5.6 Margins5.7 The options clearing corporation and WarrantsDifficulties：Specification of stock options, trading and Commissions。Keystones：Types of Options, Options pos

6、itions, Margins。Chapter Six Real options5.1 Capital investment appraisal5.2 Extension of the risk-neutral valuation 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：Estima

7、ting the market price of risk。Keystones：Capital investment appraisal, Application to the valuation of a business。二、教学要求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 De

8、rivatives are Used.Chapter Two Mechanics of Futures MarketsDesire：Grasp margin defined, Margins minimize, Open 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,Fore

9、ign Exchange.Chapter Three Hedging Strategies Using FuturesDesire：Grasp Basis and Basis risk, Choice of Contract, 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.Chapte

10、r Four SwapsDesire：Grasp Basis Nature of Swaps, The Nature of Swap Rates,Typical Uses of an Interest Rate Swap; 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 Mech

11、anics of Options MarketsDesire：Grasp Option Types, Option Positions, Payoffs from Options, Market Makers, Margins, 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 Valuation, Extension to Many Underlying Variables, Commodity Prices.三、章节学时分配章次总课时课堂讲授实验上机实践备