《金融随机分析》课程教学大纲

1、金融随机分析课程教学大纲一、课程基本信息课程名称：金融随机分析课程代码：学 分：学 时：3 学时/课，共54学时。二、任课教师、教学助理、教室等情况（四）教室：（五）上课时间：（六）纪律：1.无特殊情况，不允许无故缺课。2.每次作业须在规定时间内提交。三、阅读材料教材: Stochastic Calculus for Finance I，Steven E.Shreve.2004参考资料：补充讲稿四、课程内容概要（一）课程目标-Provide an understanding of binomial model-Develop fundamental knowledge and skills o

2、n the use of BT method to price derivatives such as American options（二）教学内容：序号章节知识点学时1第一章Ch1 Introduction to Financial Derivatives脑中有科学52第二章Ch2 Binomial no-arbitrage pricing Model153第三章Ch3 Prob. Theory on Coin Toss Space154第四章Ch4 State Prices95第五章Ch5 American derivatives_Stopping Time心中有道义5Topics Co

3、vered-Binomial no-arbitrage pricing: no-arbitrage method in a binomial model; profound concept of RN pricing-Discrete case of prob. Theory: formalizes results of Ch 2 using martingale tool; RN pricing formula for European-State prices: measure change in the context of Euro pricing; as a warm-up prel

4、iminary- American derivatives: as well non-path-dependent American derivatives; some properties of these derivatives, Such as optimal exercise, stopping time-Empirical Study: Binomial model pricing; Volatility smile; Some properties of options (put-call parity, etc.);（三）课程要求1.以教材为蓝本，结合教师的教案：课堂进行随机抽查

5、回答与作业、课程论文结合方式。2.平时课后作业：每周或每两周一次作业，按时上交，下一周进行课堂讲解（对错误较多、较重要的题目）。（四）教学安排周次章节内容授课方式课时作业/测验辅助资料11.1 Financial Math v.s. Financial Engineering, 1.2 Financial Derivatives_Option做个“具有良好科学素养”的大学生讲授3复习衍生品的知识，特别是期权的基础教师的教案,指定的参考教材21.3 Option Pricing,2.1 One-period Binomial Model讲授33上周复习的问题2.1 One-period Bino

6、mial Model讲授3Ex.2.1教师的教案,指定的参考教材4上周的作业讲解2.2 Multi-period Binomial Model讲授3Ex.2.25上周的作业讲解2.2 Multi-period Binomial Model讲授3教师的教案,指定的参考教材62.2 Multi-period Binomial Model2.3 Conputational Considerations讲授3Ex.2.67上周的作业讲解2.3 Conputational Considerations3.1 Probability Spaces讲授3教师的教案,指定的参考教材83.2 r.v., Exp

7、ectation3.3 Conditional Expectation讲授3Ex.3.29上周的作业讲解3.3 Conditional Expectation3.4 Martingales讲授3教师的教案,指定的参考教材103.4 Martingales思维与思辨讲授3Ex. 3.1011上周的作业讲解3.5 Markov process讲授3教师的教案,指定的参考教材123.5 Markov process4.1 Change of Measure讲授3Ex. 3.1413上周的作业讲解4.1 Change of Measure4.2 RN derivative process讲授3Ex. 4.2教师的教案,指定的参考教材14上周的作业讲解4.2 RN derivative process4.3 CAPM单元测验3Ex. 4.315上周的作业讲解4.3 CAPM5.1 Non-path-dependent American Derivative讲授3Ex. 4.7教师的教案,指定的参考教材16上周的作业讲解5.1 Non-path-dependent American Derivative5.2 Stopping Time讲授3Ex. 5.1175.3 Stoppin