|
Course Highlights
Matlab is an industry standard software package used extensively for Finance based computer applications.
This is a 3-day interactive and practical workshop with the necessary tools and expertise to use Matlab in solving complex financial problems.
The course aims to provide participants with the necessary tools and expertise to use Matlab in solving complex financial problems. The course shows how to manipulate symbols, do numerical calculations and graph relationships in a simple and unified manner. The course covers a variety of applications in the fields of Economic theory, Financial Economics and Econometrics. Hands-on examples and exercises that apply basic techniques to financial applications such as time series analysis, fixed income security valuation, portfolio management, options and derivatives, and Monte Carlo simulation will be covered.
Who Should Attend
Existing and prospective MATLAB users involved in financial services research, data analysis, and modeling
Course Benefits
- Demonstrate full knowledge and understanding of the capabilities and functioning of Matlab
- Provide a working understanding of MATLAB both as data analysis environment and programming language.
- Understand fully the range of financial applications of Matlab
- Understand the pricing of complex financial assets
- Implement theory appropriately and effectively through computer models
- Apply numerical methods accurately and appropriately
- Implement quantitative equity portfolio management techniques\
Prerequisites
Prior exposure to programming is recommended.
Course Outline
Day 1: Introduction to the MATLAB Environment, Analysis and Visualization
(for Beginners)
Introduction to Matlab Environment
Get familiar with the MATLAB user interface by performing data import, analysis and graphical display task using graphical tools.
- Interactively read data from an Excel file
- Interact with it in the array editor
- Interactively plot the data
- Use basic math on data, explore statistics of data
- Export figure into another application
Data Analysis in MATLAB
Work with matrices and perform data analysis and statistics.
- Create data from the command line
- Numeric and text variables
- Convert time data (strings) into serial dates
- Perform data analysis, column-oriented data analysis
- Understand how to call M-file
- Fit using linear least square
- Create a script
Programmatic Data Analysis
Learn to write functions to import data using commands in order to access Excel files, perform analysis and interpolation, and utilize debugging tool to validate the process.
- Read an Excel file with (short) time series data using uiimport
- Programmatically read the same file(xlsread)
- Graph the data and annotate with header info
- Interpolation polynomial using
- Interpolation functions
- Debugging in MATLAB
Day 2-3: Financial Modeling with MATLAB
Finance with MATLAB: an introduction
Gain familiarity with the capabilities of the various MATLAB toolboxes for financial applications and perform common financial analysis tasks.
- MATLAB toolboxes
- Fixed-income securities: analysis and portfolio immunization
- Portfolio optimization
- Derivatives
The Basics of Numerical Analysis in MATLAB
Provides an introduction to numerical analysis for financial data in MATLAB.
- Function approximation and interpolation
- Solving nonlinear equations
- Numerical integration
Binomial Option Pricing
Explore the techniques to write MATLAB functions that price American/European options using a binomial tree.
- Binomial lattice
- European options
- American options
- Exotics
- Sensitivity parameters - Greeks
Monte Carlo Simulation
Develop techniques for efficient MATLAB programming and apply them to modeling and simulation.
- The basics
- Geometric Brownian Motion
- Option pricing (Simulations with one random variable)
- Portfolio VaR (Simulations with multiple variables)
Finite Difference Methods
Learn how to implement finite difference methods for option pricing in MATLAB.
- Option price PDE
- Option valuation by finite difference methods
|
