Financial Engineering, 2002-2003
Sundays, 18:30-20:15, Trading Room
Dr. Zvi Wiener tel: 02-588-3049
office 5107
Syllabus, Internship at Godlman Sachs
13-Oct-02 Introduction to Financial Engineering and MMA interesting paper
20-Oct-02 The Binomial Option Pricing Model, file 6.3,
paper 6.3
27-Oct-02 Stochastic processes, Black-Scholes-Merton approach, file
1
03-Nov-02 Risk-Neutral Pricing, Sharpe Ratio, file 6.4,
paper 6.4
10-Nov-02 No meeting!
17-Nov-02 Dynamic Hedging, file 7.1,
paper 7.1
24-Nov-02 Term Structure Models, file 7.2,
paper 7.2
08-Dec-02 Interest Rates, ch. 15, from T. Bjork
15-Dec-02 Binomial TS, file 7.3,
paper 7.3
22-Dec-02 Swaps,
Morgan Stanley,
MSDW,
29-Dec-02 Credit Derivatives,
Total Return Swap
05-Jan-03 Hull-White algorithm
16-Feb-03 no meeting!
23-Feb-03 general meeting, report on projects, dealing room 18:30
02-Mar-03 meetings: 18:00-18:20 Adi, 18:20-18:40 Hani, 18:40-19:00 Eyal, 19:00-19:20 Yossi, 19:20-19:40 Ana;
09-Mar-03 meetings: 18:05-18:35 Hani, 18:35-19:00 Yossi, 19:00-19:20 Victor, 19:20-19:40 Ana;
16-Mar-03 meetings: Ana
23-Mar-03 meetings: 18:10 Adi, 18:40 Hani + Nitzan, 19:10 Victor;
30-Mar-03 contact me to set a meeting.
27-Apr-03
04-May-03
11-May-03
18-May-03 presenattions
25-May-03 presenattions
01-Jun-03 presenattions
08-Jun-03
additional: Value-at-Risk, VaR, file 7.4,
paper 7.4,
Ho-Lee text (preliminary draft), Ho-Lee algorithm, FE slides
my recent paper on Numeraire in option pricing
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