Financial Engineering and Derivatives Markets II

Prerequisite

probability theory, calculus,

Abstract

With the development of the financial market, traditional financial products can not meet the increasing financial demand, and the derivatives market (such as futures and options) has developed very rapidly in China. Mathematical tools have played a huge role in the design of new financial products and the development of new facilities, and derivatives-based financial engineering has also become an important discipline in finance. This course will introduce the core mathematical fundamentals of financial engineering and systematically summarize financial theories and models in the derivatives market. The course covers basic derivatives theories such as arbitrage, hedging and B-S models, as well as more in-depth derivatives models such as Poisson market models, stochastic volatility models and basic theories of stochastic processes. In the face of new technologies such as blockchain and artificial intelligence, this course teaches the application of blockchain technology in financial markets and smart contracts designs. This course aims to provide students with a systematic understanding of the basic mathematical tools and latest advances used in financial engineering and how they play a role in the derivatives market. The course is suitable for senior undergraduate, master's and doctoral students who have studied probability theory.

Lecturer Intro.

Ke Tang is a professor and director of the Institute of economics, School of Social Sciences, Tsinghua University. His main research includes commodity market (including digital assets), financial technology and digital economy. He has published many papers on top English journals such as Journal of Finance, Review of Financial Studies, Management Science, and currently serves as an executive editor of Quantitative Finance, and an associate editor of Journal of Commodity Markets. His research has been reported by the CFTC, the United Nations Commodity Report etc. He is in the Elsevier highly cited scholar list of China in 2020 and 2021.