BIMSA > Financial Engineering and Derivatives Markets I in 2021 Autumn \(ICBS\)
Financial Engineering and Derivatives Markets I in 2021 Autumn
随着金融市场的发展，传统金融产品无法满足日益增加的金融需求，衍生品市场（如期货、期权）在我国发展非常迅速。数理工具在新型金融产品设计及新型设施开发中发挥了巨大作用，以衍生品为基础的金融工程也成为金融学中重要的学科分支。本课程将介绍金融工程中核心的数理基础知识并系统总结衍生品市场中的金融理论与模型。课程内容包括套利、对冲及B-S模型等基础衍生品理论，和泊松市场模型、随机波动率模型以及随机过程的基础理论等更深入的衍生品模型。本课程旨在让同学们系统了解金融工程中运用的基本数理工具，以及它们在衍生品市场中如何发挥作用。课程适用于学习过概率论的高年级本科生、硕士和博士研究生。
Lecturer
Ke Tang
Date
15th September ~ 22nd December, 2021
Prerequisite
Probability
Reference
Futures, Options and Other Derivatives by John Hull
Video Public
No
Notes Public
No
Lecturer Intro
Ke Tang is a professor of BIMSA and the Institute of economics, School of Social Sciences, Tsinghua University, and the dean of the Zhishan College at Tsinghua University. His main research includes commodity market (including digital assets), financial technology and digital economy. He has published many papers on top English journals such as Journal of Finance, Review of Financial Studies, Management Science, and currently serves as an executive editor of Quantitative Finance, and an associate editor of Journal of Commodity Markets. His research has been reported by the CFTC, the United Nations Commodity Report etc. He is in the Elsevier highly cited scholar list of China in 2020 and 2021.