Financial Engineering
EMBAF VII, Fall-09
Teaching Assistants
- Syllabus, textbook, TASE, Israeli bonds, LIBORS,
PRMIA,
GEMEL-NET MOF
- 09-Sep-09 FF16 CDO,
FF18 Embedded Options,
Swaps,
Cash and Synthetic,
Secutirization,
Arbitrage CDO,
CDO
- 16-Sep-09 presentations from FI course,
Credit Derivatives,
Credit Derivatives,
FinnertyTotalReturnSwap,
Bear Stearns story and CDS,
Credit Derivatives Explained
- 23-Sep-09 presentations from FI course,
Basic Math,
A.AlltheMathYouNeed.XLS,
Basic Probability,
Basic Probability 2,
Basic Statistics,
Linear Regression
- 30-Sep-09
Basic Options,
CRAN,
Callable Step-Up,
DollarPi3.pdf,
LSE structures,
ELKS,
SEQUINS,
TARGETS
- 14-Oct-09
Random Behavior,
RandomBehaviorOfAssets.XLS,
Elementary Stochastic Calculus,
5.StochasticCalculus.XLS,
collar
- 21-Oct-09
BS model,
PIKADON IM MAOF terms,
PIKADON IM MAOF explained,
6.Black-ScholesModel.XLS,
SP500 PP 121%,
2Y safety note,
Knock-Out Nikkei
- 28-Oct-09
Turkish Lira,
Turkish Lira Flash,
TARGIL 1B
SHAHARIT B,
CMS Pie,
Telbor-Libor,
Chameleon Hang Seng
- 11-Nov-09
Greeks,
BSM.xls,
Exotic and Path Dependent,
Multi Asset Options,
MultiAsset.xls,
Barriers
- 18-Nov-09
COSS-ML,
CHKP 2,
COSS,
RC TEVA,
Knock-in RC,
Solvency II in Israel,
ISA proposal on complex financial products,
TARGIL A
- 25-Nov-09
BRIRA,
Asset Allocator,
AA,
AA.xls,
TARGIL non-recourse,
Examples,
booster TOPIX,
booster POALIM,
booster ILCO,
booster TA25,
leveraged DJ Eurostoxx 50,
Twin Win
- 09-Dec-09
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
- 16-Dec-09 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
- Grades and HW solutions: grades,
ch 1,
ch 2,
ch 4,
ch 6,
ch 8,
FF16,
FF 18
Back to my homepage