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Course Link: HTTP://WWW.WIZIQ.COM/COURSE/7225 -

MATLAB-FOR-FINANCIAL-ENGINEERING

Wiziq Course: MATLAB For Financial Engineering (20 Hours in 10 Classes)

Contents

About the Author Disclaimer Course Highlights Prerequisite Introduction To The Course What Will You Learn?? Why Should You Enroll in This Course?? Course Package Course Outline Inside Each Class References Conclusion My Other Courses on Wiziq

About The Author

Instructor has 70% score in BAT i.e. approximately equal to 90 Percentile Globally.

He has cleared CFA Level 1 & FRM Level 1 Exams.

Is Highly experienced in taking classes online on wiziq for more than a year.

Website: www.freegregmatclass.com

Blog: stockcreditfinancecfa.blogspot.in

Disclaimer

All terms (eg. MATLAB) are copyrighted to there original source.

This video is intended to learning, research & reporting about MATLAB.

I don’t represent MATLAB, nor am I an authorized trainer.

I don’t claim or guarantee the accuracy of information presented in this video.

Course Highlights

Useful for financial analysts, accountants etc. to perform analysis.

Requires no programming knowledge - if you use MS word, you can use MATLAB.

Highly flexible and tailored as per needs of individual.

Prerequisites

Absolutely no knowledge in Programming required.

This course will be independent of any earlier knowledge. Thus, will help in achieving a Level Playing Field for all.

Each class is designed to link Financial Engineering with MATLAB.

Utilizing MATLAB for Technical Analysis is the Goal.

Introduction To The Course

If you are working as a financial analyst or you are an aspiring financial analyst, knowing MATLAB can help you be productive and enhance your employ-ability.

MATLAB is a sophisticated statistical and scientific analysis tool as well as a numerical computing environment which can help you visualize and interpret sets of data effectively.

The best aspect of MATLAB is that you don’t need a programming background to program using MATLAB. Its simple to pick up and really versatile in usage.

What Will You Learn??

Provide introduction about all Quantitative roles in Finance.

Sensitization on derivative, quant, fixed income, portfolio, VAR modelling.

Examples with real data to enhance your IQ (US Municipal Bonds).

Under the applicability and use on Bloomberg or Reuter Websites (Introduction to tickers, RIC).

Real recent examples and real cases which are hot in the market.

New Interpretation, terminologies, and basic IQ for the subject covered.

Helpful for technical analysis and Financial Time Series Analysis.

Why Should You Enroll For This Course?

Highly flexible and tailored as per needs of individual (10-50 % Financial Engineering & 10-50% MATLAB).

Feel the same as you while you are on the trading floor / market.

Helpful for passing FRM, CFA, BAT exams also prepares for Master level studies in Finance or career change.

Right mix of data handling, scripting, mathematical skills. Contains right blend of learning and practice (Ratio 6:4). Gain confidence in Quant modelling which can be expanded to

any platform. Gain knowledge about exams like CFA, FRM, BAT, SAS etc. Improve your chances of passing exams, getting in quant

profiles. This course will help you prepare for Quant, Derivative, fixed

income, portfolio sections of CFA, FRM, BAT etc.

Course Package

10 pre-recorded classes of 2 hour each, total 20 hours.

Course can be completed in 1-2 months depending on how you structure your study.

4 Assessment tests.

1 Formula sheet.

NOTE: Number of Tests & Number of Tutorials will be increased with time.

Introduction To Financial Risk

Back-testing of investment strategies.

Credit risk modelling using KMV approach (Merton Model), tools of Moodies, Municipal bonds, etc.

Monte-Carlo simulation , Portfolio Optimization.

Statistical modelling, variance-covariance modelling, value at risk modelling, regular risk reporting (hot spot reports, concentration reports), risk assessment and style analysis of money managers, term structure modelling, rich cheap analysis, Mark-to-market, Yield and CDS spreads.

Credit research reports covering liquidity and debt analysis (Equity based).

The biggest section though is financial time series.

MATLAB Applications

R vs. MATLAB – MATLAB is much easier & the only reason people do R in west is because R is free & MATLAB is very expensive.

R & SAS are not so much user friendly, although when it comes to hardcore data handling SAS is much better. MATLAB is good for easier applications like back testing.

MATLAB Credit Risk – Credit Risk Modeling using Excel & VBA (helpful for programming in MATLAB).

Financial Time Series

Q. MATLAB or SAS which does it?

A. Both are used, SAS is in fact very popular in data handling.

Q. Is it used in Fixed income as well?

A. Not much. But you can learn some basics of how to do that on SAS as well, esp times series.

Q. Which books to read on the subject and then how to apply the same on MATLAB?

A. Most of applications are in trading, including trading on bonds, CDO and CDS.

Course Outline

Class Duration

1. Introduction to Programming on MATLAB. Comparison with R , SAS, Excel, etc.

2 Hours

2. Introduction to Quant Finance: Derivatives, Fixed Income, Portfolio, VAR

2 Hours

3. Data types and cell arrays, Data Handling & Visualization in MATLAB, 2-D and 3-D graphs

2 Hours

4. Structures, strings, logical operators, control flow, data analysis and visualization

2 Hours

5. Polynomials, optimization, integration and differentiation 2 Hours

6. Five MATLAB toolboxes for Financial Engineering 2 Hours

7. Financial times series, Distributions, VAR 2 Hours

8. Portfolio Optimization 2 Hours

9. Black Sholes and Monte Carlo 2 Hours

10. Revision & Extra sessions 2 Hours

INSIDE EACH CLASS

Class 1: Introduction to Programming on MATLAB

Basic Introduction to MATLAB.

Use of MATLAB for Technical Analysis.

Functions in MATLAB with Examples & Terminology.

Comparison with R, SAS, Excel, etc.

Revision of Looping, Functions, Structures, etc.

Classes & Arrays.

Class 2: Introduction to Quant Finance

Introduction to Quant Finance: Derivatives, Fixed Income, Portfolio, VAR,etc.

Structures & Arrays.

Revision of Looping, Function, structures, classes, arrays.

Logical Indexing.

Local indexing.

Function overloading

Class 3: Data Types & Cell Arrays

Data Types & Cell Arrays.

Data Handling & Visualization in MATLAB.

2D & 3D Plotting in MATLAB.

CFA Quant regression & Time Series.

Preparing Data for FTS.

Simple Example of Time Series.

CFA Level 2 FTS Implementation.

Class 4: Structures, strings, logical operators, control flow, data analysis & visualization

Structures

Strings

Logical Operators

Control Flow

Data Analysis & Visualization

Copula in MATLAB

Extreme Value Theorem

Pareto Distribution

Binomial Theorem For Bonds

Monte Carlo for MBS

Portfolio Construction & Portfolio VAR.

Class 5:Polynomials, optimization, Integration & Differentiation

Polynomials.

Optimization.

Integration & Differentiation.

Merton Model/KMV/BS For Default Modeling.

Moody KMV Portfolio Questions.

Credit Default Swap (CDS).

FRM 2 Level 2.

Class 6: Five MATLAB toolboxes for Financial Engineering

Five MATLAB Toolboxes For Financial Engineering.

Optimization Toolbox.

Econometric Toolbox.

Statistics Toolbox.

Fixed Income Toolbox.

Symbolic Toolbox.

Class 7: Financial times series, Distributions, VAR

Financial Time Series (FTS).

Distributions.

VAR.

Class 8: Portfolio Optimization

CAPM

CML

SML

Alpha

Information Ratio

1. Sharpe's

2. Trenor's

3. Jensons's

4. M Square

Class 9: Black Sholes and Monte Carlo

Black Scholes Model.

Monte Carlo Simulation.

Merton Model.

Class 10: Revision & Extra sessions

Thorough Review of whatever have been studied in previous classes.

This class can be conducted as per enrollee’s requirements.

Doubt Clearing session.

Relevance

CFA Level 2 and FRM Level 2 Fixed income.

Also helpful in passing these 2 exams.

Financial time series and Quant of CFA level 2.

Algorithmic trading.

References

Financial Toolbox user guide (1500 pages).

Fixed Income Toolbox 208.

MATLABR (50 pages).

More Online Resources on MATLAB Finance

Numerical Methods in Finance and Economics: A MATLAB-Based Introduction (Statistics in Practice)

Simulation and Optimization in Finance + Website: Modeling with MATLAB By Dessislava Pachamanova, Frank J. Fabozzi, CFA

http://ocw.mit.edu/courses/sloan-school-of-management/15-070-advanced-stochastic-processes-fall-2005/lecture-notes/

http://ocw.mit.edu/courses/sloan-school-of-management/15-450-analytics-of-finance-fall-2010/readings/

My Other Courses on Wiziq

http://www.wiziq.com/course/7526-bloomberg-assessment-test-bat-exam-prep

http://www.wiziq.com/course/697-GMAT-Study-Group

http://www.wiziq.com/course/9291-1-on-1-matlab-course

Soon To Be Started:

1. A course on CFT/CMT.

2. A course on VBA.

3. A course on R.

THANK YOU