Financial Engineering
EMBAF, Fall-04
Zvi Wiener tel: 02-588-3049
office 5107
Teaching Assistant
- Syllabus, textbook, TASE, Israeli bonds, LIBORS
- 08-Sep-04 Introduction, Ch. 1 Products and Markets, Ch. 2 Derivatives, interesting paper (10 myths)
- 08-Sep-04 guest lecture: Ron Dembo, Risk Measurement; Risk Architecture and the Bank of the Future
- 13-Oct-04 Ch. 4 Math and Statistics, Ch. 6 Random Behavior of Assets, Bearish DAX, Bearish DJ50
- 13-Oct-04 Ch. 7 Elementary Stochastic Calculus, PIKADON IM MAOF, Asset Allocator, Long-Short, HW due on 27 Oct
- 27-Oct-04 Ch. 8 BS model, Ch. 10 Greeks, BRIRA
- 27-Oct-04 FIBI NASDAQ, FIBI Double Touch, LEUMI, BH1, BH2, BH3
- 10-Nov-04 Asset Allocator Presentation
- 10-Nov-04 Leon Sandler Tel Aviv Stock Exchange: new financial products
- 24-Nov-04 Ch. 5 Binomial Tree, XLS file, Ch. 11 Multi-Asset Options, XLS file, Snowball 1, Snowball 2
- 24-Nov-04 Ch. 12 Exotic and Path Dependent Options, Ch. 13 Barrier Options
- 08-Dec-04 Total Return Swap
- 08-Dec-04 Ch. 26 Monte Carlo was not covered in the course, will not be in the exam
- 15-Dec-04 Swaps, Credit Derivatives
- 15-Dec-04
- 22-Dec-04 Exam!
Final grades are available, please contact Oshrat.
- Grades and HW solutions: grades, HW solutions, Asset Allocator in Excel - Solution, Binomial Tree Solution
- Examples: Callable step-up, Inverse Floater, Amdocs CLN, EUR accumulator in USD, Exam Examples
- Materials: Credit Derivatives paper, Stock Markets (Dimson)
- Projects: TORAT HAPIPSIM, CDO, ESO, Inverse Floater, 2nd Mortgage Market, ESO-2, CDO-2, Principal Protected TA25, Fundi CDO, Credit Derivatives, Callable STRIDES
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