1、教材：郑振龙主编，《金融工程》，高等教育出版社，2003年。“十五”国家级规划教材。
2、软件 (本教材中的几乎所有计算都可在此找到相应的软件)。
3、feErrata.doc (错误订正)(新！2004.11.24)
4、课件(书后所附光盘中的课件)：
第1章.ppt 第2章.ppt 第3章.ppt 第4章.ppt 第5章.ppt 第6章.ppt 第7章.ppt
第8章.ppt 第9章.ppt 第10章.ppt 第11章.ppt 第12章.ppt 第13章.ppt 第14章.ppt
5、习题解答可向高等教育出版社免费索取(限任课教师)。
6、主要参考书籍：
1)郑振龙等编著，《衍生证券》，武汉大学出版社，2004。
2)John
Hull, Option, 2003,
Futures and Other Derivatives, Prentice Hall, 5th
ed.
3)John
Hull, 2004,
Fundamentals of Futures and Options Markets,
Prentice Hall, 5th
ed.
4)Terry
J. Watsham, 1998, Futures and Options in Risk
Management, Thomson Learning, 2nd ed.
5)John
C. Cox, Mark Rubinstein, 1985, Options Markets,
Prentice hall.
6)约翰 马歇尔等，1998, 《金融工程》,清华大学出版社.
7)宋逢明，1999, 《金融工程原理》,清华大学出版社.
8)罗伯特 C 默顿等，2001, 《金融工程案例》,东北财经大学出版社.
9)陈松男 《金融工程学》复旦大学出版社。
7、Further Readings:
1)衍生证券.rar (郑振龙主编的较简单的教材，即将由武汉大学出版社出版)
2)Futures, Forwards, Options and
Swaps: Theory and Practice (另一较通俗易懂的教材)
3)金融学与经济学基本关系探讨.pdf (郑振龙、陈蓉)
4)期货市场有价格发现功能吗？
5)Forward
and Futures Prices:Evidence from the Foreign
Exchange Markets, pp..pdf
6)The
Efficiency of the Treasury Bill Futures Market,
pp. 895-914.pdf
7)Market
Incompleteness and Divergences Between Forward and
Futures Interest.pdf
8)An
Economic Analysis of Interest Rate Swaps, pp.
645-655.pdf
9)Assessing
Credit Risk in a Financial Institution's
Off-Balance Sheet Commitments, pp.
489-501.pdf
10)Swaps:
Plain and Fanciful, pp. 831-850.pdf
11)Arbitrage:
The Key to Pricing Options.pdf
12)Put-Call
Parity and Market Efficiency.pdf
13)the
relation between call and put option
prices
14)标准化期权的特征和风险(通俗读物)
15)期权入门.pdf(通俗读物)
16)期权交易策略.pdf(通俗读物)
17)Two-State
Option Pricing.pdf
18)A
Comparison of the Stable and Student Distributions
as Statistical Models for Stock Prices.pdf
19)The
Behavior of Stock-Market Prices.pdf
20)Models
of Stock Returns--A Comparison, pp.
147-165.pdf
21)A
Test for Multivariate Normality in Stock
Returns.pdf
22)The
Pricing of Options and Corporate
Liabilities1973.pdf
23)Tests
of the Black-Scholes and Cox Call Option Valuation
Models, pp..pdf
24)the
Components of the Return from Hedging Options
Against Stocks.pdf
25)Tests
of an American Option Pricing Model on the Foreign
Currency Options Market, pp. 153-167.pdf
26)Pricing
of Options on Commodity Futures with Stochastic
Term Structures of Convenience Yields and Interest
Rates.pdf
27)The
Valuation of Options on Futures Contracts, pp.
1319-1340.pdf
28)Empirical
Performance of Alternative Option Pricing Models,
pp. 2003-2049.pdf
29)The
Valuation of Option Contracts and a Test of Market
Efficiency, pp..3
30)Prices
of State-Contingent Claims Implicit in Option
Prices.pdf
31)Tests
of Market Efficiency of the Chicago Board Options
Exchange.pdf
32)S&P
100 Index Option Volatility, pp.
1551-1561.pdf
33)Recovering
Probability Distributions from Option Prices, pp.
1611-1631.pdf
34)Pricing
Warrants An Empirical Study of the Black-Scholes
Model and Its Alternatives, pp.
1181-1209.pdf
35)An
Empirical Examination of the Black-Scholes Call
Option Pricing Model, pp..pdf
36)Implied
Binomial Trees, pp. 771-818.pdf
37)The
Term Structure of Volatility Implied by Foreign
Exchange Options, pp. 57-74.pdf
38)Valuation
of Foreign Currency Options Some Empirical Tests,
pp. 145-160.pdf
39)An
Empirical Test of a Valuation Model for American
Options on Futures Contracts, pp.
377-392.pdf
40) VaR
when daily changes in market variables are not
normally distributed.pdf
41)Value
at Risk An Approach to Calculating Market
Risk.pdf
42)Value
at Risk for Interst Rate-Dependent
Securities.pdf
43)Incorporating
Stress Tests into Market Risk Modeling.pdf
44)Backtesting
Value-at-Risk A Duration-Based
Approach.pdf
45)sensitivity
analysis of VAR.pdf
46)Value
at Risk When Daily Changes are Not Normally
Distributed,
Journal of Derivatives, Vol. 5, No. 3, (Spring
1998), pp. 9-19 (with Alan White)
47)Incorporating
Volatility Updating into Value at Risk
Calculations,
Journal of Derivatives, Vol. 6, No. 1, (Fall
1998), pp. 5-19 (with Alan White)
48)How to
use volatility futures.pdf
49)A
Lattice Framework for Option Pricing with Two
State Variables.pdf
50)The
Use of the Control Variate Technique in Option
Pricing, pp. 237-251.pdf
51)The
adaptive mesh model A new approach to efficient
option pricing.pdf
52)Numerical
evaluation of multivariate contingent
claims.pdf
53)Path
Dependent Options Buy at the Low, Sell at the High
pp. 1111-1127.pdf
54)Options
on the Maximum or the Minimum of Several Assets,
pp. 277-283.pdf
55)Using
Hull-White Interest Rate Trees,
Journal of Derivatives, Vol. 3, No. 3, (Spring
1996), pp. 26-36 (with Alan White)
56)The
General Hull-White Model and
SuperCalibration
Financial Analysts Journal, 57, 6, (Nov-Dec) 2001
(with Alan White)
57) Forward
Rate Volatilities, Swap Rate Volatilities, and the
Implementation of the LIBOR Market Model,
Journal of Fixed Income, Vol. 10, No. 3 (Sept
2000), pp 46-62 (with Alan White)
58)A
Methodology for Assessing Model Risk and its
Application to the Implied Volatility Function
Model,
Journal of Financial and Quantitative Analysis,
Vol. 37, No. 2, (June 2002), pp 297-318 (with
Wulin Suo)
59)Volatility
Surfaces: Theory, Rules of Thumb, and Empirical
Evidence
Working Paper, University of Toronto (with Toby
Daglish and Wulin Suo)
60)How
to Value Employee Stock Options
Financial Analysts Journal, Vol. 60, No. 1,
January/February 2004, 114-119 (with Alan
White)
61)Accounting
for Employee Stock Options: A Practical Approach
to Handling the Valuation Issues:
Journal of Derivatives Accounting, Vol. 1, No. 1
(2004), pp 3-9. (with Alan White)
62) Valuing
Credit Default Swaps I: No Counterparty Default
Risk,.
Journal of Derivatives, Vol. 8, No. 1, (Fall
2000), pp. 29-40 (with Alan White)
63)Valuing
Credit Default Swaps II: Modeling Default
Correlations,
Journal of Derivatives, Vol. 8, No. 3, (Spring
2001), pp. 12-22 (with Alan White)
64)The
Valuation of Credit Default Swap
Options
Journal of Derivatives, 10, 3 (Spring 2003) pp.
40-50 (with Alan White)
65)The
Relationship Between Credit Default Swap Spreads,
Bond Yields, and Credit Rating
Announcements
Forthcoming, Journal of Banking and Finance (with
Mirela Predescu and Alan White)
66)Merton's
Model, Credit Risk, and Volatility Skews
Working Paper, University of Toronto (with Izzy
Nelken and Alan White)
67)Valuation
of a CDO and nth to Default CDS Without Monte
Carlo Simulation Forthcoming,
Journal of Derivatives (with Alan
White)
68)Bond
Prices, Default Probabilities, and Risk
Premiums
Working Paper (with Alan White and Mirela
Predescu)
8、相关链接：
1) 世界主要交易所
2) 中国证监会
3) 上海证券交易所
4) 深圳证券交易所
5) 中国证券网
6) 全景网络
7) 中国证券报
8) 中国债券信息网
9)Yahoo
Finance: Allows downloading past prices of
stocks, bonds, and exchange traded options in
Excel spreadsheet. We will use it to track prices,
download data, and for researching. You may create
your own portfolio and track them in (almost) real
time. Here is an example
calculation of the adjusted close prices of a
security using Chicago GSB CRSP standard.
10)US Treasury (here
you can get information on all US savings bonds,
such as, T-Bills, Notes, and Bonds) determines the virtually riskfree
T-Bill rates via auction in TreasuryDirect (or, alternatively, here) web
site. Recent T-Bill prices and rates can be found here.
You may download T-Bill, Note, and Bond auction
history since 1980 from here.
Here is their explanation of "How
do Treasury Convert the Price for a Bill to a
Discount Rate?" Do you agree with their
calculation method?
11)University
of Chicago Business and Economics Resource
Center，and the web page of Center
for Research in Security Prices (CRSP) in
Chicago GSB.
12)Here is an online note on "How
to Solve Linear Equations in Excel?" Here is
another online
note.
13) Here is a tutorial on "How to Use Excel
Solver?". Here is another one. Here is an Example.
Another tutorial.
14)Here is a tutorial on "How
to Use LINEST of Excel" for Linear
Regression.
15)Here is an Excel VBA tutorial by Bob
McDonald from Northwestern Kellogg. Kellogg's
TEKcamp have many more technology related
resources. Here is a tutorial on SPSS from
Kellogg.
16)Wondering which stocks are there in S&P-500 Index? Check out here!
17)Here is another excellent MBA level online
notes on Investments.
18)PMpublishing has a lot of old volatility skew patterns in all
markets. Not updated for long.
19)A Bunch of
Financial Calculators: Sometimes
useful.
20)SSRN:
Research journal and other article archive in
finance and economics.
21)Finance
Resources on the Web: A well organized portal
maintained by Professor Ian Giddy at Stren School,
NYU.
22)CNN Money:
A well-versed source for current financial and
economic news. Other sources for financial data
are: NYSE, Bloomberg, Value Line etc. Yahoo! Finance and NYSE shows stock
beta.
23)GloriaMundi.org:
A place dedicated to teach "all about
Value-at-Risk".
24)iVolatility:
A place for option traders. A good collection
(portal) of useful practical information (and
readings) for investors dealing with exchange
traded derivatives.
25)This web site posts almost current
implied volatility smile pattern observed in
various options markets. In past, they used to
update the pattern everyday, but now, it seems,
they are lagging behind.
26)The web page of Derivatives
Week is an excellent resource for up-to-date
information on all types of over-the-counter
financial instruments market including job
opportunities.
27)其他链接请点击本网站的收藏夹。 |
