Financial Engineering
EMBAF III, Fall-05
Zvi Wiener tel: 02-588-3049
office 5107
Teaching Assistant
- Syllabus, textbook, TASE, Israeli bonds, LIBORS,
PRMIA,
GEMEL-NET MOF
- 20-Jul-05 Basic Math, 4.AllTheMathYouNeed.XLS, Basic Probability, Basic Probability 2,
Basic Statistics,
Linear Regression,
CRAN,
Callable Step-Up
- 27-Jul-05 Economic Capital, J-B Caen, Dexia,
Turkish Lira,
Turkish Lira Flash
- 03-Aug-05 Investment Universe, 19.PortfolioManagement.XLS, IDC-MOF Risk Measures,
BH PIKADON IM MAOF
- 31-Aug-05 Basic Options,
Intro to Derivatives,
Random Behavior,
6.RandomBehaviorOfAssets.XLS,
Elementary Stochastic Calculus,
7.StochasticCalculus.XLS,
collar,
SPX based note,
TARGIL 1
- 07-Sep-05 BSM model,
BSM.xls,
COSS-ML,
CHKP 2, COSS,
RC TEVA,
Knock-in RC,
conference at TASE
- 14-Sep-05 Greeks,
BSM.xls,
Multi Asset Options,
MultiAsset.xls,
Exotic and Path Dependent,
Barriers,
BRIRA,
Asset Allocator,
AA,
AA.xls,
FIBI doubletouch,
Equity linked note,
SPX principal protected,
inflation derivatives
- 26-Oct-05
Binomial tree,
BinomialModel.xls,
FIBI 66% NASDAQ,
BinomialTree.xls,
LEUMI
- 26-Oct-05
Linear Hedging,
Swaps,
Bearish DJ50
- 02-Nov-05
Credit Derivatives,
Merton's Model,
Convertibles,
Amdocs CLN
CDS options,
CDS sample term sheet,
credit derivatives,
TRS
- 02-Nov-05 One-Factor IR modeling,
BDT
snowball 1,
snowball 2,
FF14 PSA,
FF16 Embedded Options,
FF23 IR Futures
- 09-Nov-05
Monte Carlo,
PW ch.26 MC,
MC.xls,
long-short,
long-short research,
EUR-USD accumulator
- 16-Nov-05 Presentations:
Asian Options,
Asian Opt xls 1,
Asian Opt xls 2
- 23-Nov-05 Presentations + overview
- 07-Dec-05 exam!
- Book chapters in Hebrew:
Bonds,
Forwards-Futures 1,
Forwards-Futures 2,
VaR,
Options 1,
Options 2,
Exotic Options 1,
Exotic Options 2,
structured products
- Examples:
BH 1,
BH 2,
BH 3,
Bonus Certificate,
Principal Protected Note,
KATZIR Asset,
KATZIR Liability,
Snowball,
Vol Bond,
AURORA,
AURORA performance
- Materials: Basic Fixed Income,
Floaters, Inverse Floaters,
IF example,
Effective Duration,
EffDurZW.xls,
10 Myths about derivatives,
Barclays CDO guide,
- Additional Topics:
FF12 CMO,
FF15 CDO,
FRM-J11 Intro Mkt Risk,
FRM-J12 Risk Factors,
FRM-J17 VaR,
VaR.xls
- Projects:
- Grades and HW:
grades,
TARGIL 2,
TARGIL 5,
TARGIL 6
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