ECON 195N - The Economics of Financial Derivatives & Financial Engineering

Institution:

Duke University

Subject:

Economics

Description:

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. Prerequisites: ECON 105D and 110D; and either a statistics/probability course or demonstrated knowledge of basic probability concepts such as means, variances, and covariances. 100-level finance class is helpful but not required. Consent of DUS required. Instructor: Tauchen

Credits:

1.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

WWW.DUKE.EDU

Phone Number:

(919) 684-8111

Regional Accreditation:

Southern Association of Colleges and Schools

Calendar System:

Semester

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