《期货与期权》-课程教学大纲.pdf

《期货与期权》课程教学大纲 一、课程基本信息 课程代码 课程名称：期货与期权 英文名称：Futures and Options 课程类别：专业课 学 时：32 学 分：2 适用对象: 金融工程、金融学、投资学、保险学及其他相关专业本科生 考核方式：考试 先修课程：高等数学、概率论、金融学 二、课程简介 中文简介：本课程为金融学院金融工程专业、金融学专业、投资学专业和保险专 业选修课。随着中国经济的飞速发展、对外开放程度的深化，金融机构和企业对金融 衍生品的需求正在快速上升，金融风险管理已变得越来越重要。期货与期权作为金融 衍生品市场中的两位衍生品‘明星’，可以让本科学生迅速地理解金融衍生品市场的 运行方式以及各类相关金融产品的特性。尤其在 2015 年随着上交所 ETF 期权的开放， 使得中国正式踏入世界的期权大舞台；同时其他积累了几十年‘金融高科技’的发达 国家，关于金融风险分析与控制理论技术也远没有成熟，在这个关键时刻，我国面临 的既是挑战也是机遇，我国的期货和期权市场有很远大的发展空间。 英文简介：This course is an optional course for Year 3 students in Financial Engineering, Finance, Investment and Insurance subjects in School of Finance. During the rapid development of Chinas economy and the deepened opening to the world, the demand for financial derivatives from financial institutions and enterprises has been rising quickly, that makes risk management further important. Futures and options, two ‘pearls ’ in derivatives market, make the undergraduate students quickly understand the operation cycle of the financial derivatives market and the characteristics of various financial products. Within the release of ETF options on the Shanghai Stock Exchange in 2015, China has officially stand on the stage of options market. At the same time, some developed countries that have accumulated decades of ‘financial high-tech ’ had dealt with various of risk analysis and management theory. At this important moment, China has to deal with both challenges and opportunities and it is no doubt that China’s futures and options markets would have great blooming soon. 1 三、课程性质与教学目的 通过在系统学习期货与期权的市场基本情况、理论基础、基本技术、基本金融衍 生品工具的基础上，使学生掌握基本四大金融衍生品（期货、远期、互换和期权）的 导论，以及详细掌握期货和期权这两种金融衍生品的运作机制以及对应的对冲策略， 离散时间期权定价模型，期权定价数值方法等知识。学生通过本课程的学习，可以应 用 Black-Scholes-Merton 期权定