Financial Engineering
HUJI, Fall-04
room 3105
Zvi Wiener tel: 02-588-3049
office 5107
Teaching Assistant
- Syllabus, textbook, TASE, Israeli bonds, LIBORS, PRMIA
- 18-Oct-04 Ch. 1 Products and Markets, Ch. 2 Derivatives, interesting paper (10 myths)
- 25-Oct-04 Ch. 4 Math and Statistics, Ch. 6 Random Behavior of Assets, Bearish DAX, Bearish DJ50
- 01-Nov-04 Ch. 7 Elementary Stochastic Calculus, PIKADON IM MAOF, Asset Allocator, Long-Short, HW1
- 08-Nov-04
- 15-Nov-04 Ch. 8 BS model, Ch. 10 Greeks, BRIRA
- 22-Nov-04 Asset Allocator, projects assignment
- 29-Nov-04 Credit Risk, CDO Clal
- 06-Dec-04 FF16 Embedded Options
- 13-Dec-04 FF18 Convertibles, COSS termsheet, Floaters
- 20-Dec-04 Swaps, Introduction to securitization, Cash and Synthetic, Arbitrage CDO by ML, Fitch, Barclays, GS CDO
- 26-Dec-04 conference
- 27-Dec-04 Credit Derivatives, Total Return Swap
- 03-Jan-05 Binomial Tree, Callable Debt, Ch. 11 Multi-Asset Options, XLS file
- 10-Jan-05 Ch. 12 Exotic and Path Dependent Options, Ch. 13 Barrier Options
- 17-Jan-05 projects, Ch. 26 Monte Carlo
- 24-Jan-05 projects
- 13-Feb-05 review of the course, 14:30, room 3105
- 21-Feb-05 12:00-14:00, r. 2203, exam!
- 04-Apr-05 exam (MOED BET) come to my office 5107 at 14:00
- Examples: Callable step-up, Inverse Floater, Amdocs CLN, EUR accumulator in USD
- Materials: Credit Derivatives paper
- Projects: MBS, Primary Dealers, snowball, swaption
- Grades: grades, you can see your exam on February 27 or February 28 between 13:00 and 14:00 in my office.
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