ECON 674 · also MATH 582
Financial Derivatives
Xavier S. Mela
Description from DukeHub
A rigorous introduction to financial derivatives with applications. Topics include: binomial trees and geometric Brownian motion; European options, American options, forwards, and futures; put-call parity; the Black-Scholes-Merton pricing formula and its derivations; Delta and Gamma hedging; implied volatility; Merton jump-diffusion model; Heston model; GARCH(1,1) model. Prerequisites: Math 212 (or 222) and Math 230 (or 340) or consent of instructor.
Skills
- financedescription: "financial" and 2 more
AI-resilient: 0 of 5
- No: Physical, lab or field work
- No: Live work with people
- No: Judgment someone is accountable for
- No: A craft you practice with your hands or body
- No: Small, in-person format
The checks lean on Microsoft Research, Working with AI (2025), which found generative AI applies least to physical work and hands-on work with people. A signal, not a promise. How the score works
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