• Financial Engineering
    • Antai College of Economics & Management
    • Credit. 2
    • FI408
    • Enroll
    • CURRENT
    • Spring , 2015
    • 3004
    • Course Description:
    • ( Exchange Programme )
    • Financial Engineering is an interdiscipline of Finance and Mathematical Modeling. Thus, it is possibly the most difficult topic in Finance. Yet, the topic is also very interesting. For the first time, we are going to the real power of Math. In practice. Financial Engineering is also highly demanded in industries. Student with this background can easily find a job as quant researcher or quant developer.
    • Course Syllabus:
    • After completing the course, students should:
      1.Understand bonds, options, forward, futures and swaps.
      2.Understand interest rate and take it as the most important index of financial market
      3.Understand discrete time models of interest rate
      4.Understand and grasp how to calibrate discrete time models of interest rates.
    • Schedule:
    • Topics/ Credit hours / Teaching methodology / Tasks / Intended learning outcomes / Assessment methods

      1.Time Value of Money / 2 Credit Hours / Lecture / No homework, PV, FV/ In class exercises
      2.Bonds/ 4 Credit Hours / Lecture/ 1 homework/ Credit spread, maturity spread, interest rate term structure/ homework
      3.Forward and Futures/4 Credit Hours /Lecture/1 homework/Definition ,Usage, Pricing /Homework and in class game
      4.Swap/2 Credit Hours /Students presentation/No homework/Definition, Us
  • Reading list
  • Other Materials
  • Discussion
  • Homework download/submit
    • Lan Hai
    • Read more
    • Male
    • E-mail:
    • lh.loki@sjtu.edu.cn
    • Profile
  • Prerequisite Course:

    Turbo Finance or Corporate Finance, Investment Science

  • Textbooks:

    class packages, will delivered in class and online
  • Grading:

    40% of your grade comes from your homework and projects. We do have an exam on week 17 or
    18 (TBD), which will take up 50%. The rest 10% depends on your class attendances and activities.
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