Fixed Income
HUJI, Fall-07
Sundays 17:30-20:00, r. 3102
Prof. Zvi Wiener tel: 02-588-3049
office 5107
Teaching Assistant
-
Syllabus, textbook, PRMIA,
TASE,
Israeli bonds,
LIBORS,
Public Debt USA,
Debt Management MOF,
GEMEL-NET MOF
- 21-Oct-07
Introduction to the course,
FF1 Introduction,
Bonds Worldwide
- 28-Oct-07
FF2 Pricing,
FF3 Measuring Yield,
ADR,
MIZRAHI 691 (Teva),
MIZRAHI 690
- 04-Nov-07
FF4 Bond Price Volatility,
Israel Bonds,
TASHKIFIM,
NIS futures and options at CME
- 11-Nov-07
Floaters and Inverse Floaters,
FF5 Term Structure
- 18-Nov-07
FF6 Treasury and Agency,
FED99,
BIS00,
Treasury Auctions changes
- 25-Nov-07
FF7 Corporate Debt,
Moody's Rating Methods,
ML Rating Guide,
Nera Credit Ratings
- 02-Dec-07
guest lecture Nancy Turin: MBS and CMO,
FF9 Non-US Bonds,
EMTN example
- 16-Dec-07
FF15 CDO,
MIDROOG Credit Risk,
MAALOT,
Moody's
- 23-Dec-07
FF19 Active bond management,
Introduction to securitization
- 30-Dec-07
FF16 Embedded Options,
Cash and Synthetic,
Arbitrage CDO by ML,
Fitch,
Barclays,
GS CDO,
CDO Clal
- 06-Jan-08
FF18 Convertibles,
TASE futures,
Repos
- 13-Jan-08
Swaps,
Introduction to swap market,
Credit Derivatives
- 20-Jan-08 Review of the course
- 05-Feb-08
16:30 Shmuel will have an office hour at the University r. 4103
- 08-Feb-08 9:00 r. 1701, exam!
- 27-Feb-08 IRURIM, at 18:15, room 4103
- 19-Mar-08 IRURIM MOED BET, at 18:15, room 4103
- Examples:
Callable step-up,
Inverse Floater,
Amdocs CLN,
EUR accumulator in USD,
RC TEVA,
Third to default,
SHAHARIT
- Materials:
Birth of Market Capitalism,
Credit Derivatives paper,
ING - Real Estate,
BIS on Derivatives
- Projects:
B. Yair bonds,
CDO,
Fed Funds probability,
KESHET,
IRS,
bonds,
TS theories,
SHAAREI RIBIT,
Basel 2,
model Black 76,
RAN,
Islamic Bonds,
Bond Rating,
HITUM,
Repo,
Municipal bonds
- Grades and solutions:
Grades,
Ch 2,
Ch 3,
Ch 4,
Ch 5,
Ch 6,
Ch 15,
Ch 16,
Ch 18-19,
recommended
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