The program confers master degrees.

Research areas, content and supervisors

No.Research AreasResearch ContentSupervisors
1Quantitative financeTheories and methodology of quantitative finance, micro-structure of stock market, theories and empirical research of financial market, theories and models of exchange rates, behavioral finance, investment funds and performance assessment, international investment management, financial market and financial policies.Professor TANG Guoxing, Associate Professor XU Jiangang, Associate Professor HU Wei.
2Financial derivatives and fixed-income securitiesPricing theories of derivatives, theories and empirical research of interest rate models, theories and empirical research of pricing models of credit assets, assets securitization, interest rate assets and credit assets design, interest rate assets and credit assets pricing, research on pricing of complex derivatives, empirical research and design and trading strategies of pricing of derivatives.Professor HE Hua, Associate Professor FAN Longzhen, Associate Professor HU Wei.
3Financial risk managementMarket risk management, credit risk management, operating risk management, financial risks integration, liquidity risk management.Professor TANG Guoxing, Associate Professor XU Jiangang.
4Investment managementQuantitative analysis of securities, empirical analysis of financial market, strategies of managing common stocks combination, strategies of managing fixed-income securities combination, portfolio performance evaluation.Professor LAO Lanjun, Associate Professor FANG Shuhong

Goals:

  • Should develop into high-level application-focused talents in the field of financial engineering. Basic requirements are as following:
  • To command fundamental theoretical knowledge of finance, and understand the development, latest progress in the field of financial engineering.
  • To command theories and methodology of financial engineering, and independently conduct scientific research work in financial engineering.
  • To command high-level scientific research abilities, quantitative analytical skills and conduct analysis of research progress.
  • To be qualified to work in positions of financial engineering and risk management at financial institutions and large-scale businesses, or to research and teach at universities.

Courses, credits:

40 credits in total.

common courses4 courses10 credits
foundation courses5 courses10 credits
core courses4 courses8 credits
elective courses5 courses10 credits
cross-first-level disciplinary course1 course2 credits

Basic requirements for required study sessions:

  • Should assist in delivering academic courses.
  • Should be able to work independently at financial institutions.
  • Should be able to resolve in-reality issues of investment, financing, financial innovation, portfolio management and financial risk management, by using financial engineering tools and skills.
  • Should participate in academic events of various forms.
  • Should participate in front-running academic speeches and events of various forms, normally 1 to 2 large-scale ones and no less than 6 small- and medium-scale ones.
  • Should deliver 5 to 6 reports in various special discussions.

Basic requirements for degree dissertations:

  • The dissertations should be independently completed under the guidance of supervisors.
  • The topic selections of dissertations should point to significant values either theoretically or in down-to-earth direction in the related research fields.
  • The dissertations should prove that authors have solid theoretical foundation in financial engineering knowledge, and are familiar with latest progress and major advancements in related research fields.
  • The dissertations should conclude innovative progress to benefit the development in related research fields.
  • The dissertations should show that the empirical research is carried out by using modern financial econometric approaches.
  • The dissertations should be clearly stated and logically structured.

Basic requirements for scientific research qualifications:

  • Should independently complete degree papers and oral defense.
  • Should publish one academic article with no less than 3,000 words on key periodicals.
  • Should participate in scientific research projects which are conducted by supervisors, and achieve good results.
  • Should be able to resolve in-reality issues of investment, financing, financial innovation, portfolio management and financial risk management, by using financial engineering tools and approaches.
  • Should command strong quantitative analytical abilities.
  • Should be able to read academic articles and classical books of finance in one foreign language.

List of books and periodicals:

No.Books and PeriodicalsAuthor/publisherNote
1The Econometrics of Financial MarketsPrinceton University PressOptional
2Option, Futures and other Derivative SecuritiesPrentice HallRequired
3Asset PricingPrinceton University PressOptional
4Continuous-Time FinanceBlackwellOptional
5Journal of FinanceBlackwellOptional
6Journal of Financial EconomicsElsevierOptional
7Review of Financial StudiesOxford University PressOptional
8Financial Analysts JournalCFA InstituteOptional
9Journal of Financial and Quantitative AnalysisUniversity of Washington Optional
10EconometricaEconometric SocietyOptional
11Journal of BusinessUniversity of Chicago PressOptional
12Journal of Empirical FinanceElsevierOptional
13Financial ManagementFinancial Management Association Optional
14Journal of Behavioral FinanceLawrence Erlbaum AssociatesOptional
15Journal of EconometricsElsevierOptional
16《中国金融学》复旦大学财务金融系Optional
17《经济研究》中国社会科学院经济研究所Optional
18《中国社会科学》中国社会科学杂志社Optional
19《金融研究》中国人民银行金融研究所Optional
20《统计研究》中国统计学会Optional

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