武汉集思金融建模课题背景提升-武汉金融背景提升
金融建模课题：金融衍生品定价研究【大学组】
In this program we will study the pricing and hedging of financial derivatives in the benchmark models used in financial engineering,the binomial tree model and the Black-Scholes-Merton model.We will also discuss popular extensions to those models,such as stochastic volatility models,and suggest more recent models for projects or further research,such as rough volatility models.Suggested Research Fields:Recent popular option pricing models,such as rough volatility models or recent models with jumps.在本项目中，我们将研究金融工程中使用的基准模型、二叉树模型以及布莱克-舒尔斯模型中金融衍生品的定价和对冲。我们还将讨论这些模型较近比较流行的扩展方向，例如随机波动率模型，并介绍一些新型模型，为后续的项目或深度研究做准备，例如粗略波动率模型。
适合人群
大学生
适合对于金融科技、金融工程、金融数学学等方向感兴趣或希望修读相关专业的学生；需要学生具备金融学、数据结构与统计学知识。
导师介绍
Jaksa
讲席终身正教授
Jaksa works in the fields of mathematical finance,financial engineering,and financial economics.He received a PhD in Statistics from Columbia University in 1992.He was an Assistant and Associate Professor of Statistics at Columbia University until 1999.From 1999 to 2005 he was a Professor of Mathematics and Economics at the University of Southern California,where he was also the Associate Chair.He is currently Richard N.Merkin Professor of Mathematical Finance at the California Institute of Technology,the director of the Linde Institute of Economic and Management Sciences,and the vice-president of the Bachelier Finance Society.He received the American Statistical Association Scholastic Excellence Award(1992).He has been a co-editor of“Finance and Stochastics”and of“Mathematical Finance”,and has served on the editorial boards of several other journals.He has co-authored two books,“Introduction to the Economics and Mathematics of Financial Markets”and“Contract Theory in Continuous Time Models”,and more than fifty scientific articles.Jaksa导师在金融数学、金融工程和金融经济学领域工作。他于1992年获得哥伦比亚大学统计学博士学位，并于哥伦比亚大学担任统计学助理和副教授直到1999年。从1999年到2005年，他在南加州大学担任数学和经济学教授，并同时担任学院副。他目前是加州理工学院金融数学专业的讲席终身正教授、Linde经济与管理科学研究所所长，以及Bachelier金融学会的副。他获得了美国统计协会学术卓越奖（1992年），且一直是“金融与随机”和“数学金融”的联合主编，并曾在其他几本期刊的编委任职。他联合其他作者共同创作了“金融市场经济学和数学导论”和“连续时间模型中的合同理论”两本书，并专业科研文章五十余篇。
项目大纲
股票市场和固定收益市场介绍；重要金融衍生品Brief introduction to equity markets and fixed income markets;Introducing most important derivatives
金融市场衍生品的定价及对冲Pricing and hedging of derivatives in financial markets
定价选项的二叉树模型The binomial tree model for pricing options.
常规期权定价模型；模拟定价More general option pricing models;Pricing by simulation.
较终项目讨论Final project discussion session
项目回顾与成果展示Program Review and Presentation
论文辅导Project Deliverables Tutoring
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