《衍生金融工具》课程教学大纲

1、衍生金融工具（英）课程教学大纲1.课程基本信息3.AbstractThis course aims to introduce the students the basic financial derivatives. Upon the completion of this course, students will be able to understand the mechanisms and the valuation methodologies of basic financial derivatives such as forward, future, option, swap, an

2、d credit derivatives. And students will be able to use those derivatives to implement arbitrage, speculation, or hedging strategies. 4.Ethic and Professional QualityThe course will also provide guidance of ethic and professional quality in terms of business ethic in the financial industry, social re

3、sponsibility of corporations and citizens, and professional skills required in the financial industry. 5.TextbookOptions, Futures, and Other Derivatives: 8th Edition, by John Hull, 清华大学出版社Supplementary MaterialCouse slides uploaded in BlackBoard.Reading materials uploaded in BlackBoard.王晋忠：衍生金融工具，中国

4、人民大学出版社，2014年2月。6.Couse Intended Learning ObjectiveStudents will be able to understand the payoff functions of financial derivatives.Students will be able to pricing the financial derivatives.Students will be able to use financial derivatives to implement arbitrage or speculation strategies.Students

5、 will be able to use financial derivatives to hedge market risks.Teaching and Learning ActivitiesLecturesHomework ProblemsQuizzesMid-term ExamFinal-term ExamAssessment TasksAssessment TasksWeightHomework Problems20%Quizzes20%Mid-term Exam20%Final-term Exam40%Detailed Couse Schedule WeekContentTeachi

6、ng and Learning ActivitiesGuidance of Ethic and Professional QualityWeek 1Introduction & Preliminary Knowledge: Interest Rate-Part IDiscussion: the role of derivative market in reducing systemic risk in the economy.Week 2Interest Rate-Part IICase study: compounding interest and usurious loan. Week 3

7、Interest Rate-Part IIIHomework IProfessional skill training: introduction of the Bloomberg terminal.Week 4Forward Contract, Future Contract, & Forward PricesWeek 5Hedging Strategies Using FuturesDiscussion: using forward and future contract to reduce foreign exchange risk thereby encouraging corpora

8、tions to implement the going-out strategy.Week 6Determination of Forward and Futures PricesHomework IIWeek 7Interest Rate FuturesHomework IIIWeek 8Swap-Part IQuiz IDiscussion: using forward and future contract to reduce interest rate risk thereby encouraging corporations to implement the going-out s

9、trategy.Week 9Swap-Part IIHomework IVWeek 10Mechanics of Options Markets & Properties of Stock OptionsMid-term ExaminationResearch experience sharing: the role of employee options in managerial incentive.Week 11Trading Strategies Involving OptionsHomework VWeek 12Stock Option Pricing-Part IWeek 13Stock Option Pricing-Part IIWeek 14:Stock Option Pricing-Part IIIQuiz IIWeek 15Credit Risk, Securi