Financial Engineering, Fall 99
Zvi Wiener tel: 02-588-3049
office 4119
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21-Oct-99 Introduction to MMA
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28-Oct-99 The Binomial Option Pricing Model, file 6.3,
paper 6.3
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04-Nov-99 Stochastic processes, Black-Scholes-Merton approach, file
1
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11-Nov-99 Risk-Neutral Pricing, Sharpe Ratio, file 6.4,
paper 6.4
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18-Nov-99 Dynamic Hedging, file 7.1,
paper 7.1
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25-Nov-99 Term Structure Models, file 7.2,
paper 7.2
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02-Dec-99 Interest Rates, ch. 15, from T. Bjork
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09-Dec-99 Binomial TS, file 7.3,
paper 7.3
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16-Dec-99 Value-at-Risk, VaR, file 7.4,
paper 7.4
- 23-Dec-99 Ho-Lee text (preliminary draft), Ho-Lee algorithm
- 30-Dec-99 Hull-White algorithm
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06-Jan-00 Monte Carlo Methods
- 13-Jan-00 Projects
- 21-Feb-00 Projects, 18:00
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