The Economics of Financial Derivatives & Financial Engineering

ECON 377

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. Prerequisite: Economics 205D or 372. Recommended prerequisite: either a statistics/probability course or demonstrated knowledge of basic probability concepts such as discrete and continuous probability distributions, expected value, variance, and correlation. Instructor: Rasiel

Prerequisites

Prerequisite: Economics 205D or 372

Curriculum Codes
  • SS
Typically Offered
Fall and/or Spring