（课程简介英文版） Course is employing financial engineering method for option pricing under the no-arbitrage equilibrium analysis framework.course will pay close attention to domestic and foreign derivatives markets situations and trend,guiding the students to hedging the risk by futures contract.the aim of the course is to establishing the derivatives knowledge system and training the skill for risk management by derivatives. Part One includes: Chapter 1. Introduction, Chapter 2. Mechanics of Futures Markets. In Part One, we present an outline of the derivatives market and type. We also explored the mechanics of futures markets and hedging strategies by futures contracts. Part Two includes: Chapter 3. Mechanics of Options Markets, Chapter 4. Properties of Stock Options， Chapter 5. Binomial Trees Pricing Model. In Part Two, we present an outline of the option market and types. We also explored the mechanics of options markets and trading strategy. Part Three includes: Chapter 6. The BSM Option Pricing Model and Chapter 7. Greek Letters and Volatility Smiles. In Part Three, we first outline the stochastic analysis foundation for option pricing. Then we derive BSM PDE and its analytic solution with Fourier Transform. Greek Letters is very important for risk management. We calculate all important Greek Letters, draw the related figures and conclude some useful relationship. Volatility Smiles show that the constant volatility assumption is wrong and the volatility can be functional or random form. Part Four includes: Chapter 8 and Chapter 9 are Basic Numerical Procedures.The analytic solution for option pricing is rare and we can employ strong numerical method, such as Monte-Carlo method and Finite Difference method. |
