期权、期货及其他衍生产品——2015年春季学期双学位课程介绍

发布日期:2015-03-02 09:55    来源:北京大学国家发展研究院

Options, Futures and Other Derivatives

期权、期货及其他衍生产品

Spring 2015

Instructor:  Zhuo Huang(黄卓)

zhuohuang@nsd.pku.edu.cn

National School of Development

 

Course Description:  This course consists of four parts. The first part of the course deals with the structure of futures markets, pricing of futures contracts and hedging with such contracts.  The second part of the course deals with options markets; strategies, pricing and position analysis. The course will also briefly introduce other derivatives, such as forward contracts, swaps, credit derivatives and exotic options. The final part introduces the Chinese derivatives markets. 

 

课程简介: 本 课程主要包括两个部分。第一部分主要介绍期货市场的结构和运行,期货合同定价,以及如何利用期货合同进行对冲。第二部分介绍期权市场,期权交易策略和期权 定价。本课程还将简单介绍其他衍生产品,如远期合同,互换,信用衍生产品,奇异期权等。最后一部分介绍中国的衍生品市场。

 

Prerequisites: Basic undergraduate-level Calculus, Probability, Microeconomics and Introductory Finance courses (not required).

 

预备知识:  微积分、概率论、初级微观经济学、金融学入门(不硬性要求)

 

Exams and Grading: There will be a midterm and a final. The final grade will be based on the following weights; 20% problem sets, 30% midterm, 50% final. Active class participation may improve your grade via extra bonus.

 

考核方式: 作业 20%, 期中考试30%, 期末考试50%。对课堂积极参与有额外奖励分。

 

Textbook: John Hull, Options, Futures and Other Derivatives, 9th edition, 2014.

教材: 期权、期货及其他衍生产品(原书第9版) 机械工业出版社2014年。

 

Class Schedule:

Tuesday (2教203) 9-10 17:40—19:30

Wednesday (2教105) 11-12 19:40—21:30

 

TA: 

Shihan Shen (沈诗涵)  ssh1992@163.com

Jing Wang(王晶)  wangjing13@pku.edu.cn

Midterm Exam Date (Tentative):   April 15, 2015 Wednesday 19:40—21:30

Final Exam Date (Tentative):   June 10, 2015 Wednesday 19:40—21:30

 

 

Course Outline 课程大纲

 

I.   Overview of Derivatives Markets (H: Ch.1) 衍生品市场介绍

II.   Futures Markets 期货市场

1.       Forward and Futures: Overview  远期合同与期货

2.      The Structure of the Futures Markets  期货市场结构

       3.      Hedging with Futures  期货对冲

       4.     Interest Rates  利率

       5.   Pricing of Futures  期货定价

          a)  Arbitrage Pricing; Gold Example  套利定价

                    b) Stock Index Futures  股票指数期货

6.   Interest Rates Futures     利率期货

III.     Options Markets 期权市场

Overview of Options Markets    期权市场简介 Options Strategies   期权策略 Options Valuation   期权定价

      a) Arbitrage Conditions  无套利条件

      b) Put-Call Parity  平价关系

      c) The Binomial Model   二叉树模型

      d) The Black-Scholes-Merton Model     BS模型

      e) Sensitivity Analysis (the Greek letters)    敏感性分析

      f) Volatility; “smiles” and “skews”   波动率微笑

      g) Numerical Methods  数值方法

Options on FX, Indices, Futures  外汇、指数和期货期权

IV.  Chinese Derivatives Markets

          Commodity Futures, Index Futures, Interest Rate Futures, ETF Options

          中国期货市场:商品期货, 股指期货, 国债期货, ETF 期权

V.    Guest Speakers

If time permits: 如果时间允许:

   Other Derivatives 其他衍生品

1.     Volatility modeling and Risk Management  波动率建模和风险管理

        Exotic Options  奇异期权         Credit derivatives    信用衍生品