密集科研項(xiàng)目：精算課題：基于應(yīng)用數(shù)學(xué)和數(shù)理統(tǒng)計(jì)的金融衍生品定價(jià)模型和投資組合理論研究【大學(xué)組】

導(dǎo)師學(xué)校介紹

哥倫比亞大學(xué)（Columbia University）創(chuàng)立于1754年，是一所位于美國(guó)紐約曼哈頓的世界著名私立研究型大學(xué)，為美國(guó)大學(xué)協(xié)會(huì)的十四所創(chuàng)始院校之一，常春藤盟校之一。哥大在2020年U.S.News美國(guó)大學(xué)排名第三。

導(dǎo)師詳細(xì)介紹

導(dǎo)師昵稱

Alexei

導(dǎo)師級(jí)別

正教授

導(dǎo)師學(xué)校

哥倫比亞大學(xué)Columbia University

Alexei導(dǎo)師現(xiàn)任職于哥倫比亞大學(xué)，教授財(cái)務(wù)價(jià)格分析中的數(shù)學(xué)方法、資本市場(chǎng)和投資等課程，擁有普林斯頓大學(xué)應(yīng)用與計(jì)算數(shù)學(xué)碩士及博士學(xué)位，是Systematic Alpha Management LLC(SAM）公司研究主管及合伙人。導(dǎo)師研究成果廣受業(yè)界認(rèn)可，曾發(fā)表多篇論文于International Journal of Theoretical and Applied Finance、World Scientific等業(yè)內(nèi)知名學(xué)術(shù)期刊中。

Dr.Alexei is currently a Physics Development Senior Specialist with Dassault Systemes and an Adjunct Professor with Columbia University,Mathematics Department.From 2000 until 2019 he was a Head of Research and Portfolio Manager for Systematic Alpha Management,LLC.He graduated from Moscow Institute of Physics&Technology in 1990 with Highest Honors in Theoretical Physics&Applied Mathematics.He earned his PhD.in Applied&Computational Mathematics from Princeton University in 1995.Prior to co-founding SAM,Dr.Alexei worked for Wexford Management(Quantitative Analyst,options pricing and trading),BNP Paribas(Proprietary Trader,quantitative global fixed-income futures trading,Fixed Income Swaps Desk),TrendLogic Associates(Assistant Director of Research,global futures and equities strategies).Dr.Alexei's scientific background relates to such fields as hydrodynamic instabilities and fluid turbulence.Throughout his career in science and finance,certain results of Alexei's work were published in leading physics and finance periodicals.

適合人群

方向：金融商科

專業(yè)：金融

適合專業(yè)：金融學(xué)，金融市場(chǎng)，計(jì)量經(jīng)濟(jì)學(xué)，數(shù)據(jù)分析，風(fēng)險(xiǎn)管理，數(shù)學(xué)，統(tǒng)計(jì)學(xué)，經(jīng)濟(jì)數(shù)學(xué)，量化金融，公司金融，精算

項(xiàng)目?jī)r(jià)格：33800/19800

項(xiàng)目周期：7周在線小組科研+5周論文指導(dǎo)

是否建議高中生學(xué)習(xí)：否

是否建議大學(xué)生學(xué)習(xí)：是

語(yǔ)言：英文

難度：中級(jí)/高級(jí)難度

建議具備的基礎(chǔ)：精算數(shù)學(xué)、應(yīng)用數(shù)學(xué)、金融投資、行為金融、等相關(guān)專業(yè)以及希望深入學(xué)習(xí)資本市場(chǎng)知識(shí)的學(xué)生；擁有良好數(shù)學(xué)基礎(chǔ)，有概率統(tǒng)計(jì)、微積分和線性代數(shù)基礎(chǔ)的學(xué)生優(yōu)先

科研項(xiàng)目產(chǎn)出

7周在線小組科研學(xué)習(xí)+5周論文指導(dǎo)學(xué)習(xí)共125課時(shí)+不限時(shí)論文指導(dǎo)

學(xué)術(shù)報(bào)告

優(yōu)秀學(xué)員獲主導(dǎo)師Reference Letter

EI/CPCI/Scopus/ProQuest/Crossref/EBSCO或同等級(jí)別索引國(guó)際會(huì)議全文投遞與發(fā)表指導(dǎo)（可用于申請(qǐng)）

結(jié)業(yè)證書(shū)

成績(jī)單

項(xiàng)目介紹

本項(xiàng)目?jī)?nèi)容主要通過(guò)精算和數(shù)理統(tǒng)計(jì)等應(yīng)用數(shù)學(xué)方式對(duì)股權(quán)投資策略、固定收益投資、金融衍生品等金融投機(jī)進(jìn)行量化分析，重點(diǎn)講授對(duì)當(dāng)下投資決策產(chǎn)生重大影響的兩大理論——資本資產(chǎn)定價(jià)模型（CAPM）和現(xiàn)代投資組合理論（Modern Portfolio Theory）。最終學(xué)生將以小組為單位，制定投資策略，并把這些策略推薦給“潛在投資者”。課程內(nèi)容將包括貨幣市場(chǎng)和資本市場(chǎng)的分析，風(fēng)險(xiǎn)資產(chǎn)的資本配置，包括風(fēng)險(xiǎn)厭惡的概念，風(fēng)險(xiǎn)規(guī)避和效用，風(fēng)險(xiǎn)資產(chǎn)和無(wú)風(fēng)險(xiǎn)資產(chǎn)之間的分配。同時(shí)導(dǎo)師也會(huì)闡述多元投資和相對(duì)于的風(fēng)險(xiǎn)組合量化分析，投資杠桿分析和風(fēng)險(xiǎn)資產(chǎn)的最優(yōu)配置。這其中也包括兩種風(fēng)險(xiǎn)資產(chǎn)的投資組合以及股票、債券和票據(jù)之間的分配。另外，教授將對(duì)行為金融和其相關(guān)的技術(shù)分析進(jìn)行闡述。最后課程將會(huì)詳細(xì)闡述金融衍生品的投資風(fēng)險(xiǎn)和定價(jià)模型分析，包括期權(quán)期貨等主流金融工具。盡管所使用的教科書(shū)是經(jīng)典的MBA/CFA教材，但我們將更加強(qiáng)調(diào)實(shí)證金融（大量使用彭博專業(yè)數(shù)據(jù)）和上述科目的應(yīng)用數(shù)學(xué)/量化分析方法來(lái)為學(xué)生更加深入的研究金融市場(chǎng)的投資組合。

The program mainly covers equity investment strategy,fixed income investment,derivatives,etc.,focusing on two theories that have a significant impact on current investment decisions-Capital Asset Pricing Model(CAPM)and Modern Portfolio Theory(Modern Portfolio Theory).Ultimately students will work in small groups to develop investment strategies and recommend these strategies to""potential investors"".Even though the textbook used is a classical MBA/CFA text,we will be trying to place a larger emphasis on the empirical finance(heavy use of Bloomberg Professional data)and applied mathematical/quantitative considerations of the above subjects.

項(xiàng)目背景

新冠疫情引發(fā)的連鎖反應(yīng)在全球資本市場(chǎng)不斷發(fā)酵。道瓊斯工業(yè)平均指數(shù)、標(biāo)普500指數(shù)和納斯達(dá)克指數(shù)全線暴跌，德英法三大股指均跌超3%。股市大幅動(dòng)蕩的情況下，投資者應(yīng)該如何制定明智的投資策略，實(shí)現(xiàn)資本收益呢？本項(xiàng)目將帶領(lǐng)學(xué)生深入學(xué)習(xí)資產(chǎn)投資的相關(guān)理論知識(shí)，投資組合構(gòu)建的原則，不同資產(chǎn)定價(jià)模型的使用標(biāo)準(zhǔn)，以及投資組合表現(xiàn)的評(píng)定等，尋找投資策略理論與數(shù)據(jù)的支撐。

The chain reaction triggered by the new coronavirus continues to ferment in the global capital market.The Dow Jones Industrial Average,S&P 500,and Nasdaq plummeted across the board,with three major indexes all down more than 3%.With the stock market volatile,how should investors develop a sensible investment strategy to achieve capital gains?The program will lead students to an in-depth study of the relevant theoretical knowledge of asset investment,the principles of portfolio construction,the use of different asset pricing models,and the evaluation of portfolio performance,etc.,to find the support of investment strategy theory and data.

項(xiàng)目大綱介紹

金融資產(chǎn)類(lèi)別和金融工具分析 Asset Classes and Financial Instruments.

風(fēng)險(xiǎn)資產(chǎn)的資本配置和多元化投資 Capital Allocation into Risky Assets&Efficient Diversification

CAMP模型和指數(shù)模型的深度研究 The Capital Asset Pricing Model and index Model

套利定價(jià)模型和風(fēng)險(xiǎn)收益的多因素模型 Arbitrage Pricing Theory and Multifactor Models of Risk and Return.

金融衍生品：期權(quán)期貨市場(chǎng) Options Markets

期權(quán)定價(jià)分析與研究 Options and Options Pricing

項(xiàng)目回顧和成果展示 Program Review and Presentation

論文輔導(dǎo) Project Deliverables Tutoring

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