Financial Engineering
EMBAF IV, Fall-06
Zvi Wiener tel: 02-588-3049
office 5107
Teaching Assistants
- Syllabus, textbook, TASE, Israeli bonds, LIBORS,
PRMIA,
GEMEL-NET MOF
- 13-Sep-06
Basic Math,
4.AllTheMathYouNeed.XLS,
Basic Probability,
Basic Probability 2,
Basic Statistics,
Linear Regression,
CRAN,
Callable Step-Up,
DollarPi3.pdf,
examples,
LSE structures,
ELKS,
SEQUINS,
TARGETS
- 20-Sep-06
Basic Options,
Intro to Derivatives,
Random Behavior,
6.RandomBehaviorOfAssets.XLS,
Elementary Stochastic Calculus,
7.StochasticCalculus.XLS,
collar,
Turkish Lira,
Turkish Lira Flash,
TARGIL 1
- 27-Sep-06
BS model,
PIKADON IM MAOF,
8.Black-ScholesModel.XLS,
19.PortfolioManagement.XLS,
SP500 PP 121%,
2Y safety note,
Knock-Out Nikkei,
Chameleon Hang Seng
- 04-Oct-06
SHAHARIT B,
CMS Pie,
Telbor-Libor
- 16-17-Oct conference:
Risk Management in Insurance,
Zvi Wiener,
Allan Brender,
Coomaren Vencatasawmy,
Alan Fefferman,
Yoram Eden,
Shlomo Caen,
Alistair Milne,
David Wright,
Ephraim Toaff
- 18-Oct-06
Itzik Zaken (ISA),
Financial Engineering for pensions,
TARGIL 2 - submit by 01-Nov-06
- 25-Oct-06
CHKP,
COSS-ML,
COSS,
PW10 Greeks,
PW10.XLS,
PW11 Multi-Asset Options,
PW11.XLS,
BRIRA,
PW12 Exotic and Path Dependent Options,
PW13 Barriers,
RBS SMI,
ML-SPX,
RC Teva,
Knock-In Reverse Convertible,
FIBI doubletouch,
AA
- 01-Nov-06
Asset Allocator,
Binomial Tree,
BinomialTree.xls,
FIBI 66% NASDAQ,
LEUMI,
SHAHARIT GIMEL,
TARGIL 3
- 08-Nov-06
FRM14HedgingLinearRisk,
Swaps,
BearishDJ50_3Y_JPM,
BearishDAX_BNPEuro
- 15-Nov-06
FRMJorion22CreditDerivatives,
MertonModel,
FFCh18Convertibles,
Bloomberg,
Amdocs CLN,
CreditDerivs,
FinnertyTotalReturnSwap
- 22-Nov-06
FFCh16EmbeddedOptions,
bdt,
CallableSnowball,
CallableSnowball2,
FFCh11MortgPassThroughSecurPSA,
FFCh23IRFutures
- 29-Nov-06
FX hedging - Jonathan Binke,
Barra MFM - Yaron Ganot,
Barra Qant. Tools,
PWIntroQF26MonteCarlo,
FRMJorion4QA4MC
- 05-Jan-07 exam!
- Book chapters in Hebrew:
Forwards Futures 1,
Forwards Futures 2,
Exotic Options 1,
Exotic Options 2,
Structured Products
- Examples:
BH 1,
BH 2,
BH 3,
Bonus Certificate,
Principal Protected Note,
KATZIR Asset,
KATZIR Liability,
Snowball,
Vol Bond,
AURORA,
AURORA performance,
long_short_cert,
Long_Short_research,
eurusd eur accumulator
- Materials:
Floaters, Inverse Floaters,
IF example,
Effective Duration,
EffDurZW.xls,
10 Myths about derivatives,
Barclays CDO guide,
Inflation derivatives guide,
BIS on Derivatives
- Projects:
BEZEQ,
Gold Bullion CD,
China,
Housing Sector,
LSE structures,
Nikkei 225 deposit,
MSCI Taiwan,
Spread RAN
- Grades and HW solutions:
FEHW1,
FEHW2,
FEHW3,
FEHW4
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