财务工程学教学大纲(10版)(syllabus)

教学大纲[e-mail]1财务工程学教学大纲课程名称：财务工程学（FinancialEngineering）课程类别：财务管理专业核心课教学课时数：52负责教师：刘晓宏副教授办公室：会计学院大楼318室电话：65908971E-mail:[e-mail]教学目的：本课程主要着重于以增加企业价值为目的金融衍生产品套期保值原理及策略方法的介绍，同时兼重衍生产品在公司投资决策、筹资决策、营运资金管理、股利分配政策等方面的创造性运用。目的在于使财务专业学生了解财务管理的金融环境，掌握各种金融衍生品的涵义、性质、定价及风险控制原理，并能够运用金融工程基本方法和技术创造性的解决财务管理中面临的具体问题。预备知识：本课程为财务管理专业基础课，学生需要提前掌握高等数学、宏观经济学和微观经济学、公司财务等基础知识。考核形式：期末考试60%平时成绩40％其中课堂讨论10％小论文30％试卷结构：选择题15～20%是非判断题10～15%名词解释5％～15%简答题10～15%计算题10～20%案例分析题20％～30%相关教学资料：案例集、习题集、期末考试样卷、CAI课件学术诚实：涉及学生的学术不诚实问题主要包括考试作弊；抄袭；伪造或不当使用在校学习成绩；未经老师允许获取、利用考试材料。对于学术不诚实的最低惩罚是考试给予0分。其它的惩罚包括报告学校相关部门并按照有关规定进行处理。教学大纲[e-mail]2教材和参考书目：1．刘晓宏、张人骥《财务工程学》上海财经大学出版社，2008年2．JohnC.Hull期权、期货和其他衍生产品，华夏出版社3．CharlesW.Smithson管理金融风险——衍生产品、金融工程和价值最大化管理，中国人民大学出版社参考专业刊物：《经济研究》、《金融研究》、《国际金融研究》等。参考网站：InternationalAssociationofFinancialEngineers：：金融界：国家外汇管理局：中国银行：相关阅读：1.OverviewofFinancialEngineering■1-1HillC.A.,“ThePromiseandLimitsofFinancialEngineeringinEmergingMarkets”,SSRN_InternationalFinanceAbstract,Jun2000,Vol.5No.6■1-2Carow,KennethA.,GayleR.ErwinandJohnJ.McConnell,“ASurveyofU.S.CorporateFinancingInnovations:1970-1997”,JournalofAppliedCorporateFinance,Vol.12,No.1,Spring1999,pp.55-69.■1-3Bodnar,GordonM.,GregoryS.HaytandRichardC.Marston,“1998WhartonSurveyofFinancialRiskManagementbyUSNon-FinancialFirms”,FinancialManagement,Vol.27,No.4,Winter1998,pp.70-91.2.Tools■2-1GibsonS.andSinghR.,“UsingPutWarrantstoReduceCorporateFinancingCosts”,SSRN_CorporateFinanceAbstracts,Vol.3No.20,Sep2000■2-2HarperJ.T.andWingenderJ.R.,“AnEmpiricalTestofAgencyCostReductionusingInterestRateSwaps”,JournalofBankingandFinance,Vol.24No.9,Sep2000,pp.1419-1431■2-3Saunders,KentT.,“TheInterestRateSwap:TheoryandEvidence”,JournalofCorporateFinance5,1999,pp.55-78.■2-4Damodaran,Aswath.“FinancingInnovationsandCapitalStructureChoices”,JournalofAppliedCorporateFinance,Vol.12,No.1,Spring1999,pp.28-39.■2-5Froot,KennethA.“TheEvolvingMarketforCatastrophicEventRisk”,NBERWorkingPaperSeries,August1999.（）■2-6Arzac,EnriqueR.,“PERCS,DECS,andOtherMandatoryConvertibles”,JournalofAppliedCorporateFinance,Vol.10,No.1,Spring1997,pp.54-63.■2-7Johnson,S.A.,andY.S.Tian,“TheValueandIncentiveEffectsofNontraditionalExecutiveStockOptionPlans”,57,2000,pp.3-34.教学大纲[e-mail]3■2-8Iihara,Yoshio,KiyoshiKato,andToshifumiTokunaga,“IntradayReturnDynamicsbetweentheCashandtheFuturesMarketsinJapan”,TheJournalofFuturesMarkets,Vol.16,No.2,1996,pp.147-162.■2-9Longstaff,FrancisA.andEduardoS.Schwartz,“ASimpleApproachtoValuingRiskyFixedandFloatingRateDebt”,TheJournalofFinance,Vol.L,No.3,1995,pp.789-819.■2-10Abhyankar,AbhayH.“ReturnandVolatilityDynamicsintheFT-SE100StockIndexandStockIndexFuturesMarkets”,TheJournalofFuturesMarkets,Vol.15,No.4,1995.■2-11Chatratm,Arjun,SanjayRamchanderandFrankSong,“DoesOptionTradingLeadtoGreaterCashMarketVolatility?”,TheJournalofFuturesMarkets,Vol.15,No.7,1995,pp.785-803.■2-12Marshall,JohnF.,VipulK.Bansal,AnthonyF.Herbst,andAlanL.Tucker,“HedgingBusinessCycleRiskwithMacroSwapsandOptions”,(TheContinentalBank)JournalofAppliedCorporateFinance,1992,pp.103-108.■2-13Esty,Ben,PeterTufano,andJonathanHeadley,“BANCOneCorporation:AssetandLiabilityManagement”,JournalofAppliedCorporateFinance,Vol.7,No.3,Fall1994,pp.33-51.3.Techniques■3-1NiffikeerC.I.,R.D.HewinsandR.B.Flavell,“ASyntheticFactorApproachtotheEstimationofValue-at-RiskofaPortfolioofInterestRateSwaps”,JournalofBankingandFinance,Vol.24No.12,Dec2000,pp.1903-1932■3-2CastelinoMarkG.,“HedgeEffectiveness:BasicRiskandMinimumVarianceHedging”,TheJournalofFuturesMarkets,Vol.20No.2,2000Jan,pp.89-■3-3Bauman,Joseph,SteveSaratore,andWilliamLiddle,“APracticalFrameworkforCorporateExposureManagement”,JournalofAppliedCorporateFinance,Vo.7,No.3,Fall1994,pp.66-72.■3-4Froewiss,KennethC.,“GNMAFutures:StabilizingorDestabilizing”EconomicReview,FederalReserveBankofSanFrancisco,Spring1978,pp.20-29.4.Engineering■4-1LinsmeierT.J.andA.Warga,“ValueatRisk”,FinancialAnalystsJournal,Mar-Apr2000,pp.47-67■4-2LodererC.andK.Pichler,“Firms,DoYouKnowYourCurrencyExposure?”,JournalofEmpiricalFinance,Vol.7No.3-4,Nov2000,pp.317-344■4-3ChidambaranN.K.,FernandoC.andSpindtP.A.,“CreditEnhancementThroughFinancialEngineering”,SSRN_CorporateFinanceAbstracts,Vol.3No.24,Nov2000■4-4Crabbe,LelandE.andJosephD.Argilages,“AnatomyoftheStructuredNoteMarket”,JournalofAppliedCorporateFinance,Vol.7,No.3,Fall1994,pp.85-98.5.Regulation■5-1Benton,“AccountingforDerivatives:BacktoBasics,”JournalofAppliedCorporateFinance,Vol.10,No.3,Fall1997.■5-2Merton,RobertC,“FinancialInnovationandtheManagementandRegulationofFinancial教学大纲[e-mail]4Institutions”,JournalofBanking&Finance,19,1995,461-481.■5-3Hentsche