Financial Engineering
EMBAF V, Fall-07
Teaching Assistant
- Syllabus, textbook, TASE, Israeli bonds, LIBORS,
PRMIA,
GEMEL-NET MOF
- 05-Sep-07 Basic Math,
4.AllTheMathYouNeed.XLS,
Basic Probability,
Basic Probability 2,
Basic Statistics,
Linear Regression
- 05-Sep-07 CRAN,
Callable Step-Up,
DollarPi3.pdf,
examples,
LSE structures,
ELKS,
SEQUINS,
TARGETS,
TARGIL 1A
- 19-Sep-07
Basic Options,
Intro to Derivatives,
Random Behavior,
6.RandomBehaviorOfAssets.XLS,
Elementary Stochastic Calculus,
7.StochasticCalculus.XLS,
collar,
Turkish Lira,
Turkish Lira Flash,
TARGIL 1B
- 19-Sep-07
BS model,
PIKADON IM MAOF terms,
PIKADON IM MAOF explained,
8.Black-ScholesModel.XLS,
19.PortfolioManagement.XLS,
SP500 PP 121%,
2Y safety note,
Knock-Out Nikkei,
Chameleon Hang Seng,
Financial Evolution and Innovation, speech 26-Sep-07,
TARGIL 2
- 10-Oct-07
SHAHARIT B,
CMS Pie,
Telbor-Libor,
TARGIL 3
- 17-Oct-07
COSS-ML,
CHKP 2,
COSS,
RC TEVA,
Knock-in RC,
Solvency II in Israel,
ISA proposal on complex financial products,
TARGIL 4
- 24-Oct-07
Greeks,
BSM.xls,
Multi Asset Options,
MultiAsset.xls,
Exotic and Path Dependent,
Barriers,
BRIRA,
Asset Allocator,
AA,
AA.xls,
TARGIL 5
- 31-Oct-07
Binomial Tree,
BinomialTree.xls,
FIBI 66% NASDAQ,
LEUMI,
SHAHARIT GIMEL
- 31-Oct-07
FRM14HedgingLinearRisk,
Swaps,
BearishDJ50_3Y_JPM,
BearishDAX_BNPEuro
- 07-Nov-07
Guest lecture: Itzik Zaken, ISA
- 14-Nov-07
FRMJorion22CreditDerivatives,
FIBI doubletouch,
Equity linked note,
SPX principal protected,
inflation derivatives
- 21-Nov-07
MertonModel,
FFCh18Convertibles,
Amdocs CLN,
CreditDerivs,
FinnertyTotalReturnSwap,
Guest lecture: Gil Greshler - MIVTAHIM
- 28-Nov-07
FFCh16EmbeddedOptions,
bdt,
CallableSnowball,
CallableSnowball2
- 05-Dec-07
FFCh11MortgPassThroughSecurPSA,
FFCh23IRFutures
- 12-Dec-07
PWIntroQF26MonteCarlo,
FRMJorion4QA4MC
- 26-Dec-07 presentations
- 26-Dec-07 presentations
- 18-Jan-08 exam!
- Book in English:
Structured Products Handbook
- Book chapters in Hebrew:
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,
long_short_cert,
Long_Short_research,
eurusd eur accumulator
- Materials:
Floaters, Inverse Floaters,
IF example,
Effective Duration,
EffDurZW.xls,
10 Myths about derivatives,
Barclays CDO guide,
Inflation derivatives guide,
BIS on Derivatives
- Projects:
Reverse Convertible on 3M Libor,
TEVA structure,
TEVA convertible,
Structures and regulations,
WrongPricing,
Sion,
HF,
convertible,
booster,
PLUS,
GEMS,
GEMS presentation,
Accelerated Return Note
- Grades and HW solutions:
grades,
COSS,
solution 2,
solution 3
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