15.433 金融市场与投资学 (Financial Markets)

MIT Course 15 · Finance · 金融学 · 课号 15.433

TL;DR

• 全球金融市场架构与资产配置理论，涵盖多因子资产定价模型（Fama-French）与异象回测。
• 债券收益率曲线拟合、久期与凸性对冲，以及利率期限结构模型的实务应用。
• 期权与期货定价逻辑（Black-Scholes-Merton），及高频交易环境下的市场微观结构与流动性风险。

课程简介 / Description

The focus of this course is on financial theory and empirical evidence for making investment decisions. Topics include: portfolio theory; equilibrium models of security prices (including the capital asset pricing model and the arbitrage pricing theory); the empirical behavior of security prices; market efficiency; performance evaluation; and behavioral finance.

讲义 / Lecture Notes

• Lecture 1: Introduction (PDF)
  • Lecture 2: Securities, Random Walk on Wall Street (PDF)
  • Lecture 3: Portfolio Theory Part 1: Setting up the Problem (PDF)
  • Lecture 4: Portfolio Theory Part 2: Extensions (PDF)
  • Lecture 5: Portfolio Theory Part 3: Optimal Risky Portfolio (PDF)
  • Lecture 6: The CAPM and APT Part 1: Theory (PDF)
  • Lecture 7: Applications and Tests (PDF)
  • Lecture 8 & 9: The Equity Market: Cross Sectional Variation in Stock Returns (PDF)
  • Lecture 10: Equity Options Part 1: Pricing (PDF)
  • Lecture 11: Equity Options Part 2: Empirical Evidence (PDF)
  • Lecture 13: The Fixed Income Market Part 1: Introduction (PDF)
  • Lecture 14: The Fixed Income Market Part 2: Time Varying Interest Rates and Yield Curves (PDF)
  • Lecture 15: Forwards, Futures & Swaps (PDF)
  • Lecture 16: Risk Management (PDF)
  • Lecture 17: The Credit Market Part 1: Modeling Default Risk (PDF)
  • Lecture 18: The Credit Market Part 2: Credit Derivatives (PDF)
  • Lecture 19: Security Analysis (PDF)
  • Lecture 20: Active Portfolio Management (PDF)
  • Lecture 21: Hedge Funds (PDF)
  • Lecture 22: Market Efficiency (PDF)
  • Lecture 23: Commodities (PDF)

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