15.456  Financial Engineering

Professor Kogan's Office Hours

Professor Kogan will hold additional office hours next week (E62-636):
12/18 (Monday) 10-11.30am
12/20 (Wednesday) 1.30-3pm

Announced on 14 December 2017  7:49  p.m. by Maarten Meeuwis

Review session on Friday

Dear Students,

As announced, I will hold a final review session on Friday, December 15. To avoid a conflict with the review session of 15.433, the session for this class will be from 1.30-3pm in E51-315.

I will provide a quick overview of the topics that were covered in this class and I will go over the solutions to the sample final exam. Solutions will also be posted on Stellar before Friday. Please let me know if you have any questions or if there is anything specific you want me to cover on Friday.

Best,
Maarten

Announced on 11 December 2017  9:02  p.m. by Maarten Meeuwis

Final Exam Instructions

Dear Students,

This is a reminder that the final exam is scheduled for Thursday, December 21 (9am-12noon in E62-223). The exam is closed book and you can bring two pages (each page two sided) of cheat sheets and a calculator without internal memory and communication capacity. The exam is cumulative; it will cover materials from both parts of the course. The materials on Asymmetric Information (Lecture 6-7) and Market Frictions (Lecture 8) will not be covered on the exam.

A sample final exam has been posted. I will discuss these questions in the review session on Friday (more info soon). Please let me know if you have any questions.

Best,
Maarten

Announced on 11 December 2017  11:08  a.m. by Maarten Meeuwis

Guest Lecture on Dec 6 (Mariano Zimmler, JPMorgan Chase)

Hi,

On Dec. 6, we will be hosting a guest lecture by Mariano Zimmler (bio attached below). Mariano will talk about Topics in Asset-Liability Management. This talk will cover a very interesting set of quantitative problems faced by a modern bank.

To get the most out of the talk, please go over the readings posted on Stellar under the header "Topics in ALM". These are not only useful for this talk, but provide some broadly relevant background on bank business and risk management. There is a lot of institutional information here, which complements our typical methodological content in this class. Please do not wait until the last moment to do the readings (:

--LK

Bio:

Mariano Zimmler is a Managing Director in the Treasury and Chief Investment Office at JPMorgan Chase & Co. He joined the Global Portfolio Strategy team in 2013 after spending two years as a quantitative research analyst at Graham Capital Management. Mariano’s work focuses on developing strategy and quantitative models to optimize the management of assets and liabilities in the bank’s balance sheet. He started his career in the Investment Bank in 2009, where he was an Interest Rate Derivatives Strategist.

Mariano holds a Ph.D. in Applied Physics from Harvard University and a B.A. in Physics and Mathematics from New York University.

Mariano currently resides in Manhattan.

Announced on 28 November 2017  6:48  p.m. by Maarten Meeuwis

Lecture Notes

Dear Students,

Hope you had a great Thanksgiving break. The materials for the next set of lectures on numerical optimization and asymmetric information are posted on Stellar. Also, a quick reminder that Problem Set 9 is due in class tomorrow.

Best,
Maarten

Announced on 26 November 2017  9:47  p.m. by Maarten Meeuwis