Course Overview

This course provides an in-depth exploration of key financial markets through an empirically driven approach:

• Goal: The ultimate goal of the course is to help students develop a love and appreciation for the financial industry in general and the financial markets in particular. In which ways are financial markets important? How do financial practitioners help contribute to the broader society?
• Coverage: We will cover equity, fixed-income, currency, commodities and derivatives, focusing on the key risk factors of the respective markets and their relation to the broader macro-economic environment. Institutional knowledge as well as regulatory environment will also be covered in relation to the financial markets, as clear awareness of such issues helps students break the boundary of textbooks, and connect with the real world.
• Approach: Our approach is empirical in nature. We integrate finance models with financial data, with the help of statistical and econometric tools. Through this learning process, students are expected to gain strength not only in quantitative and analytical capabilities but also in economic insights and intuitions.

Financial Markets 金融市场, Spring 2021

Day 1: Markets, Models, and Data

• Class 1: Financial Markets Amidst Covid-19. Slides
• Class 2: Financial Data and Empirical Estimations. Slides
• Class 3: Optimal Risk-Taking in Theory. Slides
• Class 4: Modern Finance and its Impact to the Real World. Slides
• Class 5: China in the World. Slides

Day 2: Cross-Sectional Equity

• Class 1: Alpha, Beta, and the CAPM. Slides
• Class 2: Equity Quant Investing: Approach and Insight. Slides
• Class 3: Financial Models in Quant Investing: CAPM and Beyond. Slides
• Class 4: Equity Quant Investing in Practice. Slides
• Class 5: China's FinTech and Asset Management. Slides
• Student Presentions: China's Capital Markets for Global Investors.

Day 3: Time-Series Equity, Option Pricing, and Credit Pricing

• Class 1: Predicting Stock Market Returns and Market Efficiency. Slides
• Class 2: Estimating Market Volatility. Slides Risk Management
• Class 3: Option Pricing and Stock Market Crashes. Slides
• Class 4: Corporate Bonds and Credit Pricing. Slides
• Class 5: China's Credit Market. Slides
• Student Presentions: Performance Evaluation of China's Mutual Funds.

Day 4: Fixed Income

• Class 1: The Bond Math, Yield and Duaration. Slides
• Class 2: The US Treasury Market and Its Monetary Policy. Slides
• Class 3a: Factors Influencing the Yield Curve. Slides
• Class 3b: Modeling the Yield Curve. Slides
• Class 4: Interest-Rate Swaps and OTC Derivatives. Slides
• Class 5: China's Financial System and Bond Market. System Bond
• Student Presentions: Option Pricing in China.