The Economics of Financial Derivatives & Financial Engineering


Duke-in-NY Finance Program. Introduction to derivatives focused on economic functions as tools for hedging/risk management. Topics include: forwards, futures, swaps, options, parity conditions, binomial options pricing, Black-Scholes formula, financial engineering for risk management Value-at-Risk (VAR). Emphasis on intuition and common sense implementation of technical material. Abuses and potentials for arbitrage profits considered. Pre-requisites: ECON205D and 210D; and either a statistics/probability course or demonstrated knowledge of basic probability concepts such as means, variances, and covariances. 300- or 400-level finance class helpful but not required. DUS consent required. One course.

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