Financial Engineering, 2002-2003

Sundays, 18:30-20:15, Trading Room

Dr. Zvi Wiener    tel: 02-588-3049    office 5107

mswiener@mscc.huji.ac.il

 

Useful Links: MathSourceMathGroupWolfram ResearchMMA World.

  • 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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