About the Lab

The Financial Engineering Laboratory operates within the Technion Research Centers, and is part of the Faculty of Industrial Engineering and Management. It was established in 2009 and is headed by Dr. Gal Zahavi. The primary goal of the lab is to conduct empirical and analytical research in the field of quantitative finance. In the lab students play a very important role taking projects and programing. Students get the chance to step into experimental finance experiencing the models strength, weaknesses and reliability in the presence of real markets. Students are encouraged to join lab projects or projects in the financial industry before taking an active role as decision makers. The Financial Engineering Lab objectives are to preform model validation of bench mark pricing models and to test them on historical data as well as live streaming data.

Lab Research

 

Research Areas

 Risk Management

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  a)  FEER Index - Forecasting Extreme Events Risk

        Amitay Kauffmann, Gal Zahavi.

  b) PROFIT Index - Pertinent Risk of Financial Investment

       Amitay Kauffmann, Haim Shalit, Gal Zahavi.

 

 
 Intrest Rate analysis.

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  a) Extraction of Economies Aggregate Expectations, Using a Modified Yield Spread Approach.

      Denis Geidman, Tzachu Perry.

 

 Option Pricing Theory.
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    a) Continuous Approximation to Discrete Time Hedging

        Ido Ariav.

   b) Performance evaluation of High Moments trading

        Gal Zahavi.

    c) Pricing and Hedging Derivative in Extreme Events

         Ilan Geller, Gal Zahavi.
 

Credit Risk.

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  a) Default Sensitivity Under Altman Z-Score Framework.

      Michal Marom, Tal Moshe, Ron Presburger,  Ziv Wangenheim

      Tal Moshe, Ron Presburger

  c) Systematic Risk Impact on Credit Defulat 

       Libi Ashkenazy, Kseniya Gluskin, Veronica Liberzon

 

  Portfolio Management.

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    a) Improved Portfolio Management  by  Greenblat’s Stock Picking Technique

        Eran Ezra, Michael Vurgaft, Leonid Borin, Arkadi Podlisker

   b) Incorporatin Tail Risk Events to Optimal Portfolio Management.

       Guy Segal, Guy Varon

 Renewable energy markets and emission trading.

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  a) Weather Derivative Pricing With Nonlinear Weather Forecasting

     Yaron Rosenstein, Gal Zahavi.

  b) Construction of Solar Energy Index.

      Jumana Amit, Yehuda Batash, Michael Vurgaft.

  c) Possible investment schemes in the renewable energy industry

      Michal Marom, Tal Moshe, Ron Presburger,  Ziv Wangenheim

  d) Market Analysis of Wind Power Investment

      Ricardo Rio.

   e) Carbon Trade - Capitat Market Structure

      Livio Gal.

 
 Microstructure and Liquidity Risk.

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  a) On-line learning optimization of Market Making strategy.

      Ori Gil, Gal Zahavi.

      Bela Dubrov, Gal Zhavi.

 

 Behavioral Finance and Artificial Markets.

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  a) Agitated Losses and Relaxed Gain

      Eldad Yechiam, Gal Zahavi

  b) Loss restlessness and gain calmness: Durable effects of losses and gains on choice switching

       Eldad Yechiam, Gal Zahavi

 

 Time Series Analysis.
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  a) Nonlinear chaos in temperature time series: Case studies

      Yaron Rosenstein, Gal Zahavi

  a) Extracting diffusion jump arrival rate from stock prices.

      Yaniv Ling.

 

This is an obligatory link to students of the lab.

Constructing a scientific paper.

How to improve your writing skiles.


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