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Financial Derivatives and Currencies

FIN 522

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The course introduces financial derivatives and their pricing. The pricing techniques encompass the Black-Scholes formula as well as extensions to accommodate time-varying volatility and more complex contracts. We also devote great attention to discussing the roles played by derivatives in shaping financial markets and the real economy using the currency markets as a focal point. This course is technical by nature, and requires extensive use of calculus, statistics, machine learning, and python programming. Weekly homework includes paper-and-pencil problems, numerical and data-driven work using python, and case studies.
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Section L01