| 课程号 |
06239139 |
学分 |
2 |
| 英文名称 |
Topics in Quantitative Finance |
| 先修课程 |
微积分，线性代数，概率论，随机过程 |
| 中文简介 |
本课程旨在介绍及探讨与量化金融相关的数学，经济及物理模型。课题着重于投资组合的建构，波动率估计与建模，利率相关产品与建模，以及最佳执行策略。基于应用所须，本课程前一小段将着重于随机控制理论与统计学习相关知识的简介。学生修完成课程应具备量化金融模型的基础知识及其与应用相关的技术。 |
| 英文简介 |
The course aims at introducing quantitative models in finance from economics, mathematics, and physics viewpoints. Financial problems covered in the course include portfolio management, volatility estimation and modeling, optimal order execution under price impact, and interest rate related products and their modeling. In order to prepare the student into the core, part of the course offers a crash course on stochastic control theory in discrete time and the theory of statistical learning. Upon completion, students are expected to understand the quantitative models covered in the course and possess basic skills to implement the models. |
| 开课院系 |
国家发展研究院 |
| 通选课领域 |
|
| 是否属于艺术与美育 |
否 |
| 平台课性质 |
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| 平台课类型 |
|
| 授课语言 |
英文 |
| 教材 |
无；
|
| 参考书 |
|
| 教学大纲 |
了解量化方法在金融及其实务上的应用。
● Background materials (6学时)
1. Crash course on stochastic control problem in discrete time
2. Markov decision process
● Portfolio management (6学时)
1. Mean-variance and utility optimization
2. Asset pricing theory
3. Performance analysis
● Volatility estimation and modeling (6学时)
1. Estimations of various volatilities
2. Volatility linked derivatives and their pricing methodologies
● Price impact models and optimal execution schemes (6学时)
1. Modeling of price impact
2. Optimal execution strategies
3. Algorithmic trading with learning
● Interest rate products and modeling (6学时)
1. Introduction to interest rate products
2. Fundamental theorem of asset pricing
3. Pricing formulas in various numeraires
课堂讲授: 100%
作业: 60%, 期末考: 40%
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| 教学评估 |
Tai-Ho Wang：
学年度学期：19-20-3，课程班：量化金融专题1，课程推荐得分：null，教师推荐得分：null，课程得分分数段：null；
学年度学期：20-21-3，课程班：量化金融专题1，课程推荐得分：null，教师推荐得分：null，课程得分分数段：null；
学年度学期：22-23-3，课程班：量化金融专题1，课程推荐得分：0.0，教师推荐得分：10.0，课程得分分数段：95-100；
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