School of Management, Fudan University
Master of Finance Program
CourseName
Financial Engineering in U.S. and Asia Financial Market
Instructor’s Name: Zhu, Xiaotian

References:
The Little SAS Book: A Primer, 5th Edition, SAS Institute, 2012, by Lora D. Delwiche, Susan J. Slaughter.
Using SAS in Financial Research, SAS Institute, February 2002, by Ekkehart Boehmer, John Paul Broussard, Juha-Pekka Kallunki.
Murach's SQL Server 2005 for Developers, Mike Murach & Associates, Incorporated, 2007, by Bryan Syverson, Joel Murach.
MATLAB: An Introduction with Applications, 3rd Edition, 2008, by Amos Gilat
Financial Modeling, 3rd Edition, The MIT Press, 2008, by Simon Benninga
Options, Futures, and Other Derivatives, 9th Edition, Prentice Hall, 2014, by John C. Hull



Course Outline

1.        Financial Engineering Applications in General
(1)        Financial Engineering in Financial Industry
-Investment Banking (Investment Banking and Trading)
-Treasury and Securities Services
-Commercial Banking
-Retail Financial Services (Auto Finance, Consumer Banking, Home Finance)
-Asset Management
-Private Banking
(2)        Quantitative Research in Academy
-Artificial Intelligence Applications in Finance Industry
-Corporate Finance and Behavior Finance Study

2.        Financial Engineering in Fixed Income and Risk Management
-Credit Risk Modeling  
-Model Validation
-Introduction of SAS Programming and its Applications
-Introduction of SQL Query Languages and its Applications

3.        Financial Engineering in Equity Sales and Trading
-Introduction of the Structure of Investment Bank’s Equity Sales & Trading Division
-Prop Trading Strategies (International Arbitrage, Index Arbitrage, Statistical Arbitrage, High Frequency Trading, Trend Following, Event Driven Strategies)
-Automated Market Making and Algorithmic Trading Platform
-CSFB’s Advanced Execution Services (AES) – Algorithmic Trading
-About Matlab Toolbox and Object Oriented Programming(C#/C++)

4.        Financial Engineering in Prime Services and OTC Derivatives
-Introduction the Structure of the Securities Company’s Global Financial Markets Division
-Alternative Trading (Statistical Arbitrage, Index Arbitrage)
-Prime Brokerage (Margin Trading, Security Lending, Seeding Capital, Execution Services)
-OTC Derivatives (Delta One Trading, TRS, Options, Structured Products)

5.        Financial Engineering in Quantitative Research
-TRNN Model in Financial Forecasting
-Behavior Finance – Momentum Life Cycle Theory
-Event Study based Market Efficiency Analysis



+FE            358.0 MB
+FE Applications in General             144.0 KB
   JPMorganBusiness_OverviewFINAL.5.pdf              144.0 KB
+FE in Credit Risk Management             341.0 MB
  +Homework              64.2 KB
    Homework1.doc               40.0 KB
    Homework2.doc               19.0 KB
    state.txt               5.2 KB
  +SAS Case Study              340.0 MB
   +DATA               340.0 MB
    Credit Model Field Descriptions.xls               35.5 KB
    Good Bad Separation Report.xls               93.0 KB
   Loan Level Market Analytics Data Dictionary v3 0.pdf              539.0 KB
+FE in Equity Sales & Trading             8.9 MB
  +Homework              2.8 MB
    A Brief Review of Portfolio Theory and Asset Pricing Models.pdf               2.4 MB
    Homework3.doc               14.0 KB
    hw2data.xls               58.5 KB
    introductionPortfolioTheory.pdf               278.0 KB
    SAS_Matrix.pdf               70.6 KB
  +MATLAB Case Study              2.1 MB
   +gaFiles               13.6 KB
   +html               739.0 KB
    AlgoTradingDemo1.m               5.8 KB
    AlgoTradingDemo2.m               3.8 KB
    AlgoTradingDemo3.m               4.1 KB
    AlgoTradingDemo4.m               4.4 KB
    AlgoTradingDemo5.m               2.4 KB
    bund1min.mat               1.2 MB
    BundDaily.xls               65.5 KB
    importfile.m               982 Byte
    isoplot.m               865 Byte
    leadlag.m               4.6 KB
    leadlagFun.m               853 Byte
    marsi.m               1.8 KB
    marsiFun.m               413 Byte
    marsiwprFun.m               1.9 KB
    movavg2.m               585 Byte
    parameterSweep.m               3.5 KB
    publishall.m               221 Byte
    readme.m               2.4 KB
    readme.pdf               11.9 KB
    rsi.m               3.0 KB
    rsiFun.m               306 Byte
    wpr.m               1.5 KB
    wprFun.m               305 Byte
   高频做市策略简介.ppt              344.0 KB
   量化信息化时代投行做市和交易业务的发展方向.ppt              3.6 MB
+FE in Quant Research             7.6 MB
  +Final Project              7.1 MB
    contrary.output               5.2 MB
    DataProcess.sas               750 Byte
    DeleteMissing.sas               220 Byte
    Final Project.doc               12.0 KB
    HPR_EachStock.sas               748 Byte
    Overreact.sas               1.1 KB
    SAS for Financial Research_C3.pdf               1.9 MB
   Loan Level Market Analytics Data Dictionary v3 0.pdf              539.0 KB
Financial Engineering in US and Asia Financial Markets.ppt            4.0 MB
Syllabus__ZXT.docx            36.0 KB