## Archive for the 'Financial Engineering' Category

### Library of Financial Engineering Papers from Investment Banks and Universities

Oct 22, 2009 in Credit Derivatives, Financial Engineering

See the library here: http://www.classiccmp.org/transputer/finengineer/

### David Einhorn’s Talk on “Private Profits and Socialized Risk”

Aug 03, 2008 in Financial Engineering

Talk given at Grant’s Investment Conference, April, 2008.Â  Provides analysis of Value at Risk and where this metric gives misleading result andÂ how Einhorn questioned ratings agency analysts about hedge and counterparty risk for major financial institutions.Â  A fascinating read.Â  See the pdf link here.

### Black Scholes

Feb 02, 2008 in Financial Engineering

Speaking of Black-Scholes, here are a few more papers.

The original paper by Fischer Black, Use the Holes in Black ScholesÂ

Nova has a great site for understanding the Black Scholes equation, see in particular “The Formula That Shook the World”

Jan 30, 2008 in Financial Engineering, Matlab

If you are learning Matlab, one of the best resources is completely free.Â

Check out this free online book Numerical Computing with Matlab by the father of Matlab, Cleve Moler.Â  This book is great because it introduces the reader to matlab via mathematics and numerical analysis.Â

Programming Tutorial in MatlabÂ This document is a tutorial to the basic functions of matlab, with applications in financial math.Â  The document is directed towards creating code for a binomial model so is very appropriate, includes graphics.

Statistical Analysis in Matlab, including MLE, multiple regression and stochastic processes, is covered in these documents from a university author. Tutorial Part IÂ  covers the basics, Tutorial Part II is applied to statistics.

This document Intro to Financial Engineering via MatlabÂ byÂ Dr Brad Baxter, School of Economics, Mathematics and Statistics Birkbeck College, London W1CE 7HX provides an overview of options with code for matlab implementation, as well as analystic derivations of put and call prices for comparison.Â

This is another document by the same author who goes into much greater detail on financial engineering approached via Matlab. James Lesage has a wonderful tutorial on econometrics and matlab.