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金融随机分析

预修课程:概率论

主要内容:金融随机分析是一门将随机分析应用到数理金融领域的重要学科,主要是利用随机分析理论来解决金融资产定价问题。本课程介绍域流、概率空间、测度等测度论的基础知识、Markov过程、随机游走、布朗运动等随机过程基础知识和资产定价的离散模型等。通过教学使学生可以掌握用随机分析知识解决金融问题的方法、思路,为将来学习连续时间模型及其在金融学中的应用打下坚实基础。

Stochastic Calculus for Finance

Requisites: Probability Theory

Content: Stochastic Calculus for Finance is an important course which the stochastic analysis is applied into mathematical finance. It mainly solves the pricing of financial assets with stochastic analysis theory. The contents will include the basic theory of measure such as the filtration, the probability space and measure, the simple stochastic process such as Markov process, random walk, Brownian motion and the discrete models of asset pricing. Through teaching, the students can master the methods and the idea of solving the financial problem with stochastic analysis, which can lay a solid foundation for the students’ future learning of continuous time model and its application in finance.

金融衍生品定价

预修课程:数学分析、线性代数、概率论、数理统计、金融随机分析

主要内容:金融衍生品定价是金融数学的主要课程之一。本课程介绍无套利原理、Brown运动、期权定价的二叉树方法、欧式期权定价、美式期权定价等。通过学习,使学生掌握各种金融衍生品定价的基本原理与基本方法,并能用相关软件进行数值模拟。

Pricing of Financial Derivatives

Requisites: Mathematical Analysis, Linear Algebra, Probability Theory, Mathematical Statistics, Stochastic Calculus for Finance

Content: Financial derivatives pricing theory is the main course of financial mathematics. This course mainly introduces the no arbitrage theory, Brownian motion, the binomial tree model of option pricing, the pricing of European option and American option and so on. By learning the course, the students can master the basic principle and method of the financial derivatives’ pricing, and can use the relevant software for numerical simulation.

固定收益证券

预修课程:金融学、概率论、数理统计、金融随机分析

主要内容:本课程主要介绍固定收益证券的计价习惯、零息债券、附息债券、凸性、利率期限结构、含权债券定价、利率期货、期权和互换的定价等。通过学习,使学生掌握固定收益证券基本知识和基本定价原理。

Fixed Income Securities

Requisites: Finance, Probability Theory, Statistics Analysis,Stochastic Calculus for Finance

Content: The course will introduce the price conventions of fixed income securities, zero-coupon bond, coupon bond, convexity, interest rate term structure, bond with embedded option, interest rate futures, options and swaps. Though learning, the students can master the basic knowledge and the basic pricing theory of fixed income securities.

数理统计        

预修课程:数学分析、概率论

主要内容:数理统计是金融数学专业的必修课。它是一门关于数据资料的收集、整理、分析和推断的学科。本课程介绍参数估计、假设检验、方差分析和回归分析等基本知识和原理。通过本课程的学习,学生能全面理解、掌握数理统计的思想与方法,掌握基本且常用的分析方法和计算方法,并能运用数理统计的观点和方法来研究、解决金融实务问题。

Mathematical Statistics

Requisites: Mathematical Analysis, Probability Theory

Content: Mathematical statistics is a compulsory course of financial mathematics. It is a course on the collection, the arrangement, the analysis and the inference of data. The contents include the basic knowledge and principles of parameter estimation, hypothesis testing, analysis of variance and regression analysis. Through teaching, students can understand the thoughts and methods of mathematical statistics, and master the basic and commonly used methods of analysis and calculation. In addition, they can solve the financial problems by using the method of mathematical statistics.

统计软件

预修课程:概率论、数理统计

主要内容:统计软件是一门介绍如何利用统计软件处理和分析实际数据的课程。本课程以统计分析的应用需求为主线,系统介绍软件SPSSEviews中主要统计方法的核心思想及方法在软件中的操作实现,内容主要分为两大部分:实用统计方法、统计软件的使用。实用统计方法部分介绍基础统计分析、线形模型(方差与回归)、属性数据分析、分类问题(判别与聚类)、降维的多变量方法(主分量、因子分析和典型相关分析)等。统计软件部分介绍国际上流行的大型统计软件包SAS的使用。通过教学,使学生可以掌握统计软件的使用方法,会利用所学软件解决金融统计分析和决策中的实际问题。

Statistical Software

Requisite: Probability Theory, Mathematical Statistics

Content:Statistical Softwareis a course that introduces how to use statistical software to deal and analyze the practical data.Application of the statistical analysis is the main line of this course. The course will introduce the core ideas of main statistical method and the realization of the method in SPSS, Eviews. The content includes two parts: practical statistical methods and statistics software. The practical statistical techniques include the basic statistical analysis, linear model (the variance and the regression), attribute data analysis, classification (distinguish and cluster), multivariable methods (principle component analysis, factor analysis, classical correlation analysis), etc. In the statistics software part, SAS (international popular statistical software package) are introduced. Though learning, the students can grasp the key methods to use the statistic analysis and solve the decision-making problems in practice financial market by using the above software.

金融计量学

预修课程:数理统计、金融学、微观经济学

主要内容:金融计量学就是把计量经济学中的方法和技术应用到金融领域,即应用统计方法和统计技术解决金融问题。本课程通过对一些计量软件操作的讲解,借助相关的案例与数据向学生介绍实证分析的具体做法,训练和培养学生对经济、金融数据尤其是时间序列数据的处理能力和定量分析能力。内容包括:古典线性模型及其扩展、一元和多元时间序列模型、面板数据模型、利率期限结构等金融计量的主要理论方法及其软件实现。通过学习,学生可以将金融问题模型化,利用数据和软件对模型进行估计和检验,并会对模型进行应用,培养学生解决金融问题的能力。

Financial Econometrics

Requisites: Mathematical Statistics, Finance,Microeconomics

Content: Financial econometrics is the application of methods and techniques in econometrics to financial field, namely, the application of statistical methods and statistical techniques to solve the financial problems. This course mainly introduces the specific operation of empirical analysis by using the financial cases and data after explaining the software for econometrics. The aim is to train the processing abilities and quantitative analysis abilities of financial data and the time series data for students. The content will cover the classical linear models and its extensions, time series models, panel data model, the interest rate term structure and other financial econometrics methods and its software implementation. Through learning,the students can model the financial problems, estimate and test the models with data and software and apply the models in practice. This can train the students’ abilities of solving the financial problems.

金融时间序列分析         

预修课程:数理统计、金融计量学、金融学

主要内容:金融时间序列模型是实证金融模型中的重要组成部分。本课程主要介绍金融时间序列理论和方法,系统阐述时间序列分析在金融各个领域的应用,如股票市场、债券市场、金融衍生工具市场和外汇市场。主要介绍金融计量模型及其在金融时间序列数据建模中的应用。主要内容包括风险值计算、高频数据分析、随机波动率建模和马尔科夫链、蒙特卡罗方法等,同时讲授功能强大的经济计量分析软件Eviews

Financial Time Series Analysis  

Requisite: Mathematical Statistics, Econometrics for Finance, Finance

Content: Financial Time series model is an important part of the practical financial models and is the application of time series analysis in various financial fields such as stock market, bond market, financial derivative instrument market and foreign exchange market. Financial time series analysis applies to low and high frequency data and involves time domain analysis, spectral domain analysis, regression analysis and concentrative analysis. This course mainly introduces financial econometrics model and its application in the modeling of financial time series data. Main content includes: risk value calculation, high frequency data analysis, stochastic volatility modeling, markov chain and monte carlo method. Powerful econometric analysis software Eviews would be taught in this course.

金融计算方法

预修课程:数学分析、线性代数、金融学

主要内容:随着计算机的迅速发展和广泛应用,在金融等众多领域内,人们越来越认识到科学计算是科学研究的重要方法,金融数学专业的学生,应具备这方面的知识和能力。本课程包括以下内容:Matlab软件编程、方程求根、线性方程组数值解法、插值法、曲线拟合法、数值积分与数值微分、蒙特卡罗方法、微分方程数值解法、极值问题的一维搜索法以及金融案例应用。

Computational Methods in Finance

Requisites: Mathematical Analysis, Linear Algebra,Finance

Content: With the rapid development and extensive application of computers, in a large number of areas of finance, people are increasingly realizing that scientific calculation is an important method in scientific research. Students who major in financial mathematics should be provided with the knowledge and capacity in this respect. The main content of this course includes: Matlab Software, extraction of root from an equation, numerical solution of a system of linear equations, interpolation method, the method of fitting of fitting of a curve, numerical integration and differentiation, Monte-Carlo methods, numerical solution of a differential equation, one-dimensional search method of extreme value problem and applications in finance, etc.

投资组合管理

预修课程:数学分析、线性代数、概率论、数理统计

主要内容:投资组合管理主要介绍资本市场线、作为定价公式的CAPM、推广形式的CAPM、贝塔系数的估计和套利定价、现代证券组合理论的主要内容、效用函数、风险厌恶、随机占优、投资组合有效边界模型及基本的均值方差模型等。通过本课程的学习,学生能够掌握投资组合管理的基础理论,并能用相关软件将所学的理论,如马克维茨的均值方差模型,夏普的单因素模型等,应用到实际的组合选择和资产配置中去。

Portfolio Management

Requisites: Mathematical Analysis, Linear Algebra, Probability Theory, Mathematical Statistics

Content: Portfolio Management introduces the line of capital market, CAPM, the extended CAPM, the estimate of beta coefficient and arbitrage pricing, the main contents of modern portfolio theory, utility function, risk aversion, stochastic dominance, the efficient frontier of portfolio model and mean-variance model. By learning the course, students can master the basic theory of portfolio management, and can apply the learned theory, such as the Markowitz’s mean-variance model and sharp single factor model, to actual portfolio and asset allocation by the relevant software.

金融博弈论

预修课程:数学分析、概率论、数理统计、金融学、微观经济学

主要内容:博弈论主要是研究相互制约、相互影响的决策参与者的理性决策行为及其决策均衡的理论。金融博弈论是利用博弈论方法解决金融市场中的博弈问题,目的是使用博弈规则,预测博弈均衡。主要内容包含博弈论的基本概念、基本理论、基本方法及其在金融领域的若干应用。通过学习,使学生学会应用博弈论的基本原理和方法分析、解决金融领域中的博弈问题,如金融市场中金融机构及参与者之间的博弈等。

Game Theory in Finance

Requisites: Mathematical Analysis, Probability Theory, Mathematical Statistics,Finance,Microeconomics

Content: Game theory is to study the rational decision-making behavior of the decision-making participants with mutual restraint and influence and their decision-equilibrium theory. Game theory in finance mainly uses the game theory to solve the game problems in financial market. The aim is to use the game principles to predict game equilibrium. The content will cover basic concepts, basic theory, the methods of game theory and their several applications in finance. Through learning, students should make use of the basic principles and methods to analyze and solve the game problems in the financial field, such as the games of the financial institutions and participants in the financial markets and so on.

金融优化方法

预修课程:数学分析、线性代数、概率论、数理统计、金融学

主要内容:金融从业者在进行模拟,计算证券与期权价格,估计风险以及确定对冲策略等中重要的工具之一是最优化。本课程涵盖线性规划、非线性规划、整数规划、动态规划等方法。学生能用这些方法解决金融中出现的某些典型的优化问题,如资产负债管理,期权定价和对冲,风险管理,证券投资组合优化等。

Optimization Methods in Finance

Requisites: Mathematical Analysis, Linear Algebra, Probability Theory, Mathematical Statistics, Finance

Content: Financial practitioners run simulations, compute price of securities and options, estimate risks and determines hedging strategies. One of the most important tools in finance is optimization. This course will cover such methods as Linear Programming, Nonlinear Programming, Integer Programming, Dynamic Programming. Students are expected to use them to solve typical optimization problems arising in finance such as asset-liability management, option pricing and hedging, risk management, portfolio optimization.