Financial Engineering, Fall 2001
Zvi Wiener tel: 02-588-3049
office 5107
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syllabus
- 24-Oct-00 Introduction to Financial Engineering and MMA
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31-Oct-00 The Binomial Option Pricing Model, file 6.3,
paper 6.3
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07-Nov-00 Stochastic processes, Black-Scholes-Merton approach, file
1
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14-Nov-00 Risk-Neutral Pricing, Sharpe Ratio, file 6.4,
paper 6.4
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21-Nov-00 Dynamic Hedging, file 7.1,
paper 7.1
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28-Nov-00 Term Structure Models, file 7.2,
paper 7.2
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05-Dec-00 Interest Rates, ch. 15, from T. Bjork
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12-Dec-00 Binomial TS, file 7.3,
paper 7.3
- 19-Dec-00 Value-at-Risk, VaR, file 7.4,
paper 7.4
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26-Dec-01 Ho-Lee text (preliminary draft), Ho-Lee algorithm
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02-Jan-02 Hull-White algorithm
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09-Jan-02 no lecture
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16-Jan-02 Monte Carlo Methods
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23-Jan-02 Projects
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30-Jan-02 Projects
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06-Feb-02 Projects
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