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The purpose of the course is to provide us with the necessary economic concepts and quantitative skills for understanding and valuing derivative securities. As demonstrated by the recent financial crisis, the risk embedded in many complex derivative securities can be multi-dimensional and new sources of risk may emerge in a rapidly changing market environment. Thus this course stresses the importance of understanding the economic underpinnings of various derivative pricing frameworks rather than the mechanical pricing formulas. Nevertheless, it is necessary to explore the topics at a technical level. The course requires extensive use of calculus, linear algebra, probability, and statistics.
本课程的目的是为我们提供必要的经济概念和量化技能，以了解和评估衍生证券。正如最近的金融危机所表明的，许多复杂的衍生证券所蕴含的风险可能是多维的，在瞬息万变的市场环境中可能出现新的风险来源。因此，本课程强调理解各种衍生定价框架的经济基础而非机械定价公式的重要性。不过，有必要在技术层面探讨这些话题。该课程需要广泛使用微积分，线性代数，概率和统计。
To be financially literate in today’s market, business students must have a solid understanding of derivatives concepts and instruments and the uses of those instruments in corporations. The book has an accessible mathematical presentation, and more importantly, helps us gain intuition by linking theories and concepts together with an engaging narrative that emphasizes the core economic principles underlying the pricing and uses of derivatives.
This book covers hard and soft commodities (energy, agriculture and metals) and analyses. Hélyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications.
K: Knowledge outcomes; S: Skill outcomes; V: Values and attitudes outcomes
