衍生品定价及应用-Derivatives Pricing and Applications
Course ID：
02839360
Credits：
2
Department：
光华管理学院
Introduction in Chinese：
本课程将讲授金融衍生品的概念、本质、定价的基本原理、主要模型、衍生品的应用、及隐藏的风险等。涉及的衍生品包括远期、期货、期权、利率衍生品、商品衍生品、信用衍生品、及其它非标准衍生工具等。课程除了介绍必要的基本理论外，注重理论联系实际，通过实际案例解释基本理论，加深学生对衍生品在实际经济中的作用及局限性的理解。课程还要求学生会利用计算机软件（VBA-Excel或其它计算机语言工具）来实施衍生品定价模型及风险管理策略。
Introduction in English：
This course will cover the concepts, nature, fundamental pricing principles, major models, applications, and underlying risks of financial derivatives. The derivatives discussed include forwards, futures, options, interest rate derivatives, commodity derivatives, credit derivatives, and other non-standard derivative instruments.
In addition to introducing essential theoretical foundations, the course emphasizes the integration of theory with practice. Through real-world case studies, students will gain a deeper understanding of the role and limitations of derivatives in the economy. Furthermore, students will be required to use computational tools (such as VBA-Excel or other programming languages) to implement derivative pricing models and risk management strategies.
