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标题: [2007]数理金融学[王亚南经济研究院(WISE)][厦门大学][马成虎] 课程介绍
hshch
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发表于 2007-4-2 00:13  资料 文集 短消息 
[2007]数理金融学[王亚南经济研究院(WISE)][厦门大学][马成虎] 课程介绍

先自我介绍一下吧,本人目前就读于厦门大学王亚南经济研究院,硕士一年级。本科就读于厦门大学金融系金融工程专业。这次要介绍的课程是数理金融学。这门课的定位是建立金融学在学术研究方面(尤其是在数理方法方面)的初步框架。

马成虎老师的个人介绍:

Research Interests
   Financial Economics
   Options and derivatives
   Dynamic asset pricing
   Decision theory under risk and uncertainty
   Game theory and theory of incomplete contract                                   
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Teaching in 2005-2006
   Asset Pricing
     Research Methodology in Finance
   Introduction to Accounting & Finance
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Editorial Board
   Review of Mathematical Finance (Editor, in preparation)
   Research in Financial Economics (Associate Editor)
   Chinese Journal of Economic Theory (Associate Editor)



下面是syllabus:

Course Description
This course is on the economics foundation of modern asset pricing theory.  It serves as an introduction to the
functioning of financial market as an efficient venue for organizing investment activities. Various issues on risk
measurement, risk assessment, managing risk, investors!ˉ pychological attitudes towards risk, and its implications on
consumption and portfolio decision making in an uncertain world will be introduced and discussed. The classical
Sharpe-Lintner CAPM, Markowitz‘s mea-variance analysis, Fama‘s efficientmarket hypotheses, and no-arbitrage
asset pricing theory as corner stones of modern finance will be received in-depth treatment.
  
Topics include
  1 foundamental theorem and asset pricing
  2 utility theory under uncertainty
  3 stochastic economies and market efficiency
  4 risk and risk measurement
  5 stochastic dominance and VaR models
  6 attitudes towards risk and portfolio risk management
  7 mean-variance analysis
  8 Sharpe-Lintner CAPM
  9 efficient market hypothesis

Recommended Texts

1.Danthine J.P. and J. Donaldson: Intermediate Financial Theory. Prentice Hall
2.Huang C.F. and R. Litzenberger: Foundations of Financial Economics. Prentice Hall  
(There is a Chinese translation)  
3.(MAIN)Neftci S. : An Introduction to the Mathematics of Financial Derivatives, 2ND
edition. Academic Press

      目前已经开课几周了,感觉上这门课是建立在本科阶段有一定的金融学基础,包括概率论知识、基本的数理经济学知识、以及对金融市场(主要包括货币、证券、外汇和衍生产品市场)有一个比较全面的了解。主要是通过数学描述和数理推导,来描述资本市场的,当然,主要是以规范分析为主,实证和应用的内容相对比较少。
      我将陆续将课程内容和心得贴上来,也欢迎大家相互交流、讨论。

[ 本帖最后由 hshch 于 2007-4-5 13:03 编辑 ]
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Jackey
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发表于 2007-4-2 12:21  资料 文集 短消息 
太好了,国内数理金融以及计量经济学的第一品牌的课,也开始上传了,谢谢楼主的付出。
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