Financial Engineering Masterclass
SA June 2005
Zvi Wiener tel: 972-2-588-3049
- textbook, LIBORS
- L1-1 Basic Math, Basic Probability, Probability (FRM Ch. 2), Statistics (FRM Ch. 3), Linear Regression
- L1-2 Investment Universe
- L1-3 Basic Fixed Income
- L1-4 Floaters, Inverse Floaters, Effective Duration, EffDur.xls, Inverse Floater Example
- L2-1 Basic Options, Random Behavior of Assets, Example, Elementary Stochastic Calculus, Example, BSM model, BSM Example
- L2-2 Greeks, Linear Hedging
- L2-3 Multi-Asset Options, Example, Asset Allocator Example, AA
- L2-4 Exotic and Path Dependent Options, Barriers,
CRAN, collar
- L3-1 Credit Risk
- L3-2 Embedded Options, RC Teva Example
- L3-3 BDT Example
- L3-4 CHKP, COSS termsheet, COSS
- L4-1 Swaps
- L4-2 Credit Derivatives
- Add-1 Binomial Tree, Binomial Tree Example 1, Binomial Tree Example 2
- Add-2 Monte Carlo, Monte Carlo simulations
- Add-3 CMO, CDO
- Add-4 Interest Rate Futures
- Add-5 Pass Through and PSA
- Add-6 Introduction to Market Risk, Identifying Risk Factors,
VaR methods, VaR Example
- Examples: Callable step-up, Amdocs CLN, EUR accumulator in USD,
Bearish DAX,
Bearish DJ50,
Snowball 1,
Snowball 2,
Long-Short,
ML principal protected note
- Materials: Credit Derivatives paper,
10 myths,
Total Return Swap,
CDS options,
Barclays Guide to Cash CDO,
Stock Markets (Dimson)
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