Financial Engineering
EMBAF IX, Fall-11
Teaching Assistants
-
Syllabus,
textbook,
TASE,
Israeli bonds,
PRMIA,
GEMEL-NET MOF
- 31-Aug-11
FF18 Embedded Options,
Swaps,
Cash and Synthetic,
Secutirization,
Arbitrage CDO,
CDO,
History of Derivatives
- 07-Sep-11
Credit Derivatives,
Credit Derivatives,
FinnertyTotalReturnSwap,
Bear Stearns story and CDS,
Credit Derivatives Explained
- 14-Sep-11
Basic Math,
A.AlltheMathYouNeed.XLS,
Basic Probability,
Basic Probability 2,
Basic Statistics,
Linear Regression
- 21-Sep-11
Basic Options,
CRAN,
Callable Step-Up,
DollarPi3.pdf,
LSE structures,
ELKS,
SEQUINS,
TARGETS
- 05-Oct-11
Random Behavior,
RandomBehaviorOfAssets.XLS,
Elementary Stochastic Calculus,
5.StochasticCalculus.XLS,
collar,
Brownian Motion by AE
- 26-Oct-11
BS model,
PIKADON IM MAOF terms,
PIKADON IM MAOF explained,
6.Black-ScholesModel.XLS,
SP500 PP 121%,
2Y safety note,
Knock-Out Nikkei
- 02-Nov-11
Turkish Lira,
Turkish Lira Flash,
TARGIL Portfolio Management,
SHAHARIT B,
CMS Pie,
Telbor-Libor,
Chameleon Hang Seng
- 09-Nov-11
Greeks,
BSM.xls,
Exotic and Path Dependent,
Multi Asset Options,
MultiAsset.xls,
Barriers,
COSS-ML,
CHKP 2,
COSS
- 16-Nov-11
RC TEVA,
Knock-in RC,
TARGIL structure TEVA and others,
booster TOPIX,
leveraged DJ Eurostoxx 50,
Twin Win
- 16-Nov-11
BRIRA,
Asset Allocator,
AA,
AA.xls,
TARGIL non-recourse,
booster POALIM,
booster ILCO,
booster TA25
- 23-Nov-11
Binomial Tree,
BinomialTree.xls,
FIBI 66% NASDAQ,
LEUMI,
SHAHARIT GIMEL,
FIBI doubletouch
- 30-Nov-11
PWIntroQF2930MonteCarlo,
MCexample.xls,
Elad Canada,
Examples,
Equity linked note,
SPX principal protected,
inflation derivatives
- 09-Dec-11 exam!
additional examples of test questions
- 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 solutions:
grades,
Ch 18, 19,
Ch 1,
Ch 2,
Ch 4,
Ch 6,
Ch 8
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