欧洲金融工程

最近有几位朋友问我去德国留学或交换的事情，希望我以过来人的身份谈谈那面留学的事情，尤其是金融工程这一块。说实话，我知道的不是很多，因为当时德国Konstanz大学和同济大学是友好学校，每年都有那么几个名额过去读书，申请手续相对来说简单多了，我记得当时我们那几个被录取的除了我傻乎乎的把申请资料用特快寄到德国之外，其它几个人都是直接把资料投给院主任就OK了，Konstanz会派人来同济拿资料的。不过我还是把我微薄的了解写下来，希望对大家有所帮助。



德国教育体系目前分为两种，本土教育和欧美教育。其中本土教育是本硕连读，标准5年毕业，毕业后即可申请读3~4年博士；欧美教育类似国内，标准为4年本科，2年硕士。欧美教育一般都为英语授课，同样要求T/G考试成绩，部分学校对德语有要求，我就是那种当时德语水平不值一根葱，回来后依旧一窍不通的人。对德国留学感兴趣的可具体在本页右下角用Google搜索。关于留学交换和奖学金事宜的可参考www.daad.de。



回到老本行，讲讲德国和周围国家金融工程专业我了解的情况。



相比美国，欧洲的金融工程（可能英国除外）开设的都比较晚，大部分学校还是把金融工程开设在经济系或金融系下面，不过欧洲还是有很多基础不错的学校，金融工程后来居上，在此领域有不小的名气。而且欧洲（英国除外）很多学校不需要学费或者学费较低，很多学校还接收过期的T/G成绩，可以作为经济不是很宽裕的大伙的考虑对象。以德国为例，金融工程对数学和IT技能要求较高，其实是一个很严谨的学科，这正好符合了德国人的本性，事事谨慎，再加上德国教授的严厉，毕业出来的基础都还过得去。再加上法兰克福这个经济中心和德意志银行对此领域毕业生的需求，现在金融工程专业在德国已经算开展的有声有色了。我所查到的德国金融工程不错的学校有

http://www.mathematik.uni-ulm.de/finmath/mscfinance/

Master of Science Programme in Finance

Faculty of Mathematics and Economics, University of Ulm

http://www.comisef.eu/

Computational Optimization Methods in Statistics, Econometrics, and Finance

http://www.quanthr.com/study/study2.htm

WHU - Otto Beisheim School of Management, Germany (Germany)

http://www.quanthr.com/study/study5.htm

European Business School, Oestrich-Winkel, Germany (Germany)



瑞士的大学就不说了，苏黎世理工赫赫有名，加上去年瑞士金融机构（Swiss Finance Institute，SFI）合并了瑞士几所金融牛校，现在SFI已经是很多去欧洲读金融的首选学校了。好学校太多，我就列2所，大家自己再找吧

http://www.msfinance.ch/

Master of advanced studies in finance，不要被它的名字蒙骗了，此项目对数学要求极高，师资力量据说相当有名，问了一下，有人这样描述该项目：” I think it is a great program...Its got some very big quant fin names on its teaching faculty Schonbucher, embrechts, mcneil.



It’s not very easy to get in. very small class size and I got the sense that they look for people who already have a graduate degree in some other technical discipline.



Incidentally I had applied there a couple of years back and I got rejected because I didnt have enough math background. At that time, I had a engineering degree from a good school in India. And i got into some good schools in US with the same background. So if ur comparing between US and Europe, I would imagine the standards in terms of math requirements are at least the same if not higher.

I had a interview with them during the application process and they asked me a lot of martingale theory in the interview and some basic finance. I got the sense they are more particular on how good the math background as compared to the finance part (or maybe it was just my particular background)



Dont know how well it is known...The faculty I named is definitely very very famous in US.”



http://www.swissfinanceinstitute.ch/

名字就很牛叉，感觉在瑞士类似中科院在中国这种级别，目前有3个分校可以申请。



法国的金融工程就不说了，华尔街报曾用一个篇幅描述法国Polytech的概率统计专业生是如何占据伦敦金融街市场的。

http://de.polytechnique.fr/candidatures/Login.cfm?Type=Master



西班牙也有一些金融工程较好的学校，我替大家问了一下，” For the program I follow in Madrid spanish is not required.there's an English version.

this is university's web page: http://www.uc3m.es/

this is programs web page in spanish: http://www.uc3m.es/uc3m/gral/TC/ESMAOF/EEMC/eemc.html

this one is in English but a bit outdated: http://www.uc3m.es/uc3m/gral/TC/ESDO/ESDO14I/esdo14i.html

tihs is el mundo ranking: http://aula.elmundo.es/aula/especiales/2005/50carreras/ade.html



Carlos III is the best university in Spain in business and economics. In time-series and econometrics it's really ranked very high worldwide. But eventually studying in US or in UK is always better even though Carlos III would rank better.”



其它国家我就不一一详述了，知识面有限，无法了解这么多，有知道的可以跟帖在后面。祝所有准备申请或即将申请金融工程专业的朋友一切顺利。



转贴请注明 金融工程之家 http://www.QuantHR.com
金融工程 金融数学 http://quanthr.blogspot.com

全球货币统一

终于痛下决心，放弃了使用Google域名转换功能，可惜啊，我刚申请了www.mathfinance.cn，这么好的域名，充分显示了数学金融的本质，本来结合Google该功能做成我的一个金融工程博客，分享讨论在金融工程工作和学习中的一些心得体会，可惜这个功能被国内封了，只有国外才能直接登入，唉，谁让Baidu有政府背景呢。郁闷，只好转到原始Blog地址，感觉www.MathFinance.cn比www.QuantHR.com更好，毕竟咱不是猎头，继续用Mathfinance做什么用呢？大伙儿给点建议。希望以前收藏过Mathfinance的朋友重新收藏本页，谢谢哈。




最近在和同事做一些FX currency option的产品，不同货币之间倒来倒去，甚是麻烦，Volatility time和Interest rate time根据Currency year basis不一样而改变，尤其是日元，本来你丫的Year basis就跟别的货币不大一样了，你还瞎凑什么热闹，搞了个Direct Quote （直接标价），弄的Day Count头大，还搞假期调整，统一全球货币就没这么麻烦了，Sign。‘灭了小日本就没这么多事儿’，同事嘀咕着，呵呵，是啊，等咱人民币彻底放开，金融产品多了，哪天有了RMB Swaption, CMS，你们就知道麻烦了，别说假期跟你们不一样，光日历就2个，而且每年还不一样，农历不把鬼佬给折腾疯掉，心中暗自窃喜……

本期推荐一本书，是关于FX Derivative的，写的不错，“FX Options and Structured Products”，作者在业界干了几年后回到学校做研究，所以写的比较实际，不像有的书那样理论化，搞深沉。目录为：

1 Foreign Exchange Options.

1.1 A Journey through the History Of Options.

1.2 Technical Issues for Vanilla Options.

1.3 Volatility.

1.4 Basic Strategies containing Vanilla Options.

1.5 First Generation Exotics.

1.6 Second Generation Exotics.

2 Structured Products.

2.1 Forward Products.

2.2 Series of Strategies.

2.3 Deposits and Loans.

2.4 Interest Rate and Cross Currency Swaps.

2.5 Participation Notes.

3 Practical Matters.

3.1 The Traders’ Rule of Thumb.

3.2 Bid–Ask Spreads.

3.3 Settlement.

3.4 On the Cost of Delayed Fixing Announcements

4 Hedge Accounting under IAS 39.

4.1 Introduction.

4.2 Financial Instruments.

4.3 Evaluation of Financial Instruments.

4.4 Hedge Accounting.

4.5 Methods for Testing Hedge Effectiveness.

4.6 Testing for Effectiveness

A Case Study of the Forward Plus.

4.7 Conclusion.

4.8 Relevant Original Sources for Accounting Standards.

4.9 Exercises.

5 Foreign Exchange Markets.

5.1 A Tour through the Market.

5.2 Software and System Requirements.

5.3 Trading and Sales.

Bibliography.

感兴趣的朋友可以去看看



FX Options and Structured Products