Financial Engineering, Fall 98
Zvi Wiener tel: 02-588-3049
office 4119
Teaching Assistant
Isabel Tkatch
tel: 02-588-3107, room 5111
office hours: Thursday 11:00-12:00
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09-Dec-98 Introduction to MMA
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16-Dec-98 Stochastic processes
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23-Dec-98 Black-Scholes-Merton approach file
1, file 6.3
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30-Dec-98 Risk-Neutral Pricing, Sharpe Ratio, file 6.4
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06-Jan-98 Dynamic Hedging, file 7.1
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13-Jan-98 Term Structure Models, file 7.2
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20-Jan-98 Interest Rates, ch. 15, from T. Bjork
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27-Jan-98 Binomial TS, file 7.3
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03-Feb-98 Value-at-Risk, VaR,file 7.4, Alon BDT
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10-Feb-98 Projects: Orly data1, data2, program, Boaz
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17-Feb-98 Ho-Lee text (preliminary draft), Ho-Lee algorithm
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24-Feb-98 Hull-White algorithm
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