Derivatives
本课程系统讲授金融衍生品的理论与实务，主要包括远期、期货、期权和互换四大类产品。课程内容涵盖衍生品市场的组织结构、合约特征、定价模型（布莱克-斯科尔斯期权定价模型、二叉树模型）、套期保值策略、套利机制、以及希腊字母风险度量。通过大量计算练习和真实交易案例，学生将掌握衍生品在风险管理和投机交易中的应用，理解杠杆效应与风险收益特征。
This course systematically covers financial derivatives theory and practice, including forwards, futures, options, and swaps. It examines market structure, contract specifications, pricing models (Black-Scholes, binomial tree), hedging strategies, arbitrage mechanisms, and Greek letter risk measures. Extensive computational exercises and trading cases build proficiency in risk management and speculative applications.
学生选取一只美股或A股个股及其期权链数据，针对不同市场预期（看涨、看跌、盘整、波动率上升/下降）设计五种期权策略，包括备兑看涨、保护性看跌、跨式组合、价差组合等。使用布莱克-斯科尔斯模型计算理论价格，分析各策略的盈亏平衡点、最大收益和最大亏损。并回测过去一年该策略的历史表现，与单纯持有标的股票进行对比。
Students select a stock and its option chain, designing five option strategies for different market outlooks (bullish, bearish, neutral, rising/falling volatility), including covered calls, protective puts, straddles, and spreads. They compute theoretical prices using Black-Scholes, analyze breakeven points and risk-reward profiles, and backtest strategy performance over the past year versus buy-and-hold.