Financial Engineering
EMBAF VI, Fall-08
Teaching Assistant
- Syllabus, textbook, TASE, Israeli bonds, LIBORS,
PRMIA,
GEMEL-NET MOF
- 03-Sep-08 Basic Math,
A.AlltheMathYouNeed.XLS,
Basic Probability,
Basic Probability 2,
Basic Statistics,
Linear Regression
- 03-Sep-08 Basic Options,
CRAN,
Callable Step-Up,
DollarPi3.pdf,
LSE structures,
ELKS,
SEQUINS,
TARGETS
- 10-Sep-08 Random Behavior,
RandomBehaviorOfAssets.XLS,
Elementary Stochastic Calculus,
5.StochasticCalculus.XLS,
collar
- 10-Sep-08 Turkish Lira,
Turkish Lira Flash,
TARGIL 1B
- 10-Sep-08 presentations from the FI course
FF15 CDO,
swaps,
PJ22 Credit Derivatives,
Cash and Synthetic,
Secutirization,
Arbitrage CDO,
CDO
- 10-Sep-08 presentations from the FI course
Credit Derivatives,
FinnertyTotalReturnSwap,
Bear Stearns story and CDS,
Credit Derivatives Explained
- 24-Sep-08
BS model,
PIKADON IM MAOF terms,
PIKADON IM MAOF explained,
6.Black-ScholesModel.XLS,
SP500 PP 121%,
2Y safety note,
Knock-Out Nikkei
- 24-Sep-08
SHAHARIT B,
CMS Pie,
Telbor-Libor,
Chameleon Hang Seng,
Financial Evolution and Innovation, speech 26-Sep-07
- 22-Oct-08
COSS-ML,
CHKP 2,
COSS,
RC TEVA,
Knock-in RC,
Solvency II in Israel,
ISA proposal on complex financial products,
TARGIL A
- 29-Oct-08
Greeks,
BSM.xls,
Exotic and Path Dependent,
Multi Asset Options,
MultiAsset.xls,
Barriers
- 05-Nov-08
BRIRA,
Asset Allocator,
AA,
AA.xls,
TARGIL non-recourse,
Examples,
booster TOPIX,
booster POALIM,
booster ILCO,
booster TA25,
leveraged DJ Eurostoxx 50,
Twin Win
- 19-Nov-08
Binomial Tree,
BinomialTree.xls,
FIBI 66% NASDAQ,
LEUMI,
SHAHARIT GIMEL,
FIBI doubletouch,
Equity linked note,
SPX principal protected,
inflation derivatives
- 19-Nov-08
PWIntroQF2930MonteCarlo,
MCexample.xls
- 03-Dec-08 presentations
- 03-Dec-08 presentations
- 19-Dec-08 exam!
- Book in English:
Structured Products Handbook
- 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,
Amdocs CLN,
BearishDJ50_3Y_JPM,
BearishDAX_BNPEuro,
CallableSnowball,
CallableSnowball2
- Materials:
Floaters, Inverse Floaters,
IF example,
Effective Duration,
EffDurZW.xls,
10 Myths about derivatives,
Barclays CDO guide,
Inflation derivatives guide,
BIS on Derivatives,
BDT model in Excel
- Projects:
VIX,
RESHET BITAHON 1,
TED spread,
FDIC,
CFD,
Quanto option,
DELEK_NADLAN,
Bond Option, Bond Options Black76,
MOF proposal,
BOT,
ARS,
PE,
expiration
- Grades and HW solutions:
grades,
ch1,
ch2,
ch6,
ch8
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