MATLAB For Financial Engineering

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MATLAB For Financial Engineering
MATLAB Finance course for CFA FRM aspirants

Beta Version for Test purpose

For any doubts please email me at shivgan3@gmail.com


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Self Study Plan: MATLAB in Financial Engineering 10 Sessions : Self Study Plan: MATLAB in Financial Engineering 10 Sessions Shivgan Joshi Shivgan3@yahoo.com Course Link: http://www.wiziq.com/course/7225-matlab-for-financial-engineering By the author of http://stockcreditfinancecfa.blogspot.in /

Content : Content Introduction to MATLAB & Applications Financial Engineering (financial time series) Session Structure & Details Learning Outcome Statements Reference materials Conclusion

About the Author : About the Author Instructor has 70% score on BAT, in aprox top 90 percentile globally Cleared CFA L1, FRM L1 exams Have experience of teaching on Wiziq, taking classes on GRE and GMAT for the past 1 year Websites www.freegregmatclass.com stockcreditfinancecfa.blogspot.in

Disclaimer : Disclaimer All terms like MATLAB, etc are copyrighted to their respective agencies This video is intended to learning, research and reporting about MATLAB I don’t represent MATLAB, Nor I am authorized trainer I don’t claim or guarantee accuracy of the information

Introduction : Introduction Applications Usefulness with certification programs such as SAS How it takes your beyond excel Comparison of MATALB SAS R Excel/VBA

Prerequisite : Prerequisite No experience in programming required Each Class has two goals MATLAB & Financial Engg learning

Introduction to Financial Risk : 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 : MATLAB Applications R vs MATLAB, MATLAB is much easier and the only reason people do R in west is because R is free and MATLAB is very expensive R and SAS are not so much user friendly, although when it comes to hardcore data handling SAS is much much better. MATLAB is good for easier applications like backtesting MATLAB Credit Risk : Credit Risk Modeling Using Excel and VBA (helpful for programming in MATLAB)

Financial times series : Financial times series MATLAB or SAS which does it? Both are used, SAS is in fact very popular in data handling Is it used in Fixed income as well? Not much. But you can learn some basics of how to do that on SAS as well, esp times series Which books to read on the subject and then how to apply the same on MATLAB Most of applications are in trading, including trading on bonds, CDO and CDS

Variations of Versions of Lessons on Wiziq : Variations of Versions of Lessons on Wiziq In 10 minutes lessons MATLAB Financial toolbox Dummies Linking it to CFA FRM: Questions of these exam executed on MATLAB Prepare / Sensitize yourself for MATLAB in Finance

Implementation for Library : Implementation for Library Introduction to FTS in MATLAB Introduction to C redit risk in MATLAB Introduction to Portfolio Analysis How to do? Start reading

Session 1 : Session 1 Introduction to Programming on MATLAB Functions in MATLAB, example and terminology Comparison with R , SAS, Excel, etc Revision of Looping, Function, structures, classes , arrays Get it from the blog docs

Session 2 : Session 2 Introduction to Quant Finance: Derivatives, Fixed Income, Portfolio, VAR. Structure Array Revision of Looping, Function, structures, classes, arrays Logical Indexing Local indexing Function overloading http://www.mathworks.in/help/techdoc/matlab_prog/br1v5pf-1.html

Session 3 : Session 3 Data types and cell arrays, Data Handling & Visualization in MATLAB, 2-D and 3-D graphs CFA quant regression& time series Preparing data for FTS Simple examples of time series CFA L2 FTS implementations

Session 4: FRM 2 book1 : Session 4: FRM 2 book1 Structures, strings, logical operators, control flow, data analysis and visualization Copula in MATLAB Extreme value theorem Pareto distribution Binomial Theoram for bonds Monte carlo for MBS Portfolio construction, Portfolio VAR

Session 5 : Session 5 Polynomials, optimization, integration and differentiation Merton model / KMV / BS for default modeling Moddy KMV portfoilio questions Credit Default Swap (CDS) FRM 2 book 2

Session 6 : Session 6 Five MATLAB toolboxes for Financial Engineering Introduction to 5 toolboxes on Finance Optimization

Credit Risk Analysis in MATLAB : Credit Risk Analysis in MATLAB Book 2 of FRM L2 Merton Model CDS Credit Default Swap Interest Rate Dynamics Trenching / Securitization SIA conventions

Session 7 FTS in MATLAB : Session 7 FTS in MATLAB Financial times series, Distributions, VAR Financial Time Series

Handbook of Financial times series : Handbook of Financial times series ARCH GARCH Stochastic Volatility http://en.wikipedia.org/wiki/Stochastic_volatility

Session 8: Portfolio Construction : Session 8: Portfolio Construction CAPM CML SML Alpha Information Ratio Sharpe's Trenor's Jensons's M Square

Research on terms seen in Time Series in MATLAB : Research on terms seen in Time Series in MATLAB Box Cox transformation method GARCH Ito process Most of it data manipulation

Session 9: Financial derivatives : Session 9: Financial derivatives Three most famous Models: Black Scholes Monte Carlo Merton Model

Session 10: Extra / Revision Session : Session 10: Extra / Revision Session Can be structured as per needs

Reference Notes : Reference Notes Financial toolbox user’s guide (1500 pgs) Fixed income toolbox 208 MATLABR (50 pages)

Financial toolbox user’s guide (1500 pgs) : Financial toolbox user’s guide (1500 pgs) Portfolio, Asset Allocation and Performance Credit Risk (Ratings etc) Financial times series (Trading data) Technical Analysis (Trading, may include Ago or VAR or Regulations etc) Trading risk or Market risk is interesting for Bank on CDS and other leveraged items

Course Expansion & Promotion : Course Expansion & Promotion 10 Lessons of 10 min each on Youtube Increasing number of lines codes

Relevant teachings in Certifications : Relevant teachings in Certifications CFA L2 and FRM L2 Fixed income, also helpful in passing these 2 exams Financial time series and Quant of CFA level 2 Algorithmic trading

Expansion to other languages : Expansion to other languages Everything is linked to exams MATLAB basics will get over in some days Links things that you can link to SAS or R, a file called MATLABR will be useful Might help you in SAS as well for the Base and Advanced Exams

More Online resources for MATLAB Finance : More Online resources for MATLAB Finance Simulation and Optimization in Finance + Website: Modeling with MATLAB By Dessislava Pachamanova, Frank J. Fabozzi, CFA Numerical Methods in Finance and Economics: A MATLAB-Based Introduction (Statistics in Practice) http://ocw.mit.edu/courses/sloan-school-of-management/15-450-analytics-of-finance-fall-2010/readings/ http://ocw.mit.edu/courses/sloan-school-of-management/15-070-advanced-stochastic-processes-fall-2005/lecture-notes/

From Financial toolbox help [1500p] : From Financial toolbox help [1500p] Financial times series [biggest section] Portfolio Analysis and Optimization in MATLAB comes from CFA [2 nd biggest section] Investment metrics for portfolio optimization Credit risk (smallest section) Conclusion: FTS is the hottest thing MATLAB

To Run on MATLAB : To Run on MATLAB http://ocw.mit.edu/courses/sloan-school-of-management/15-450-analytics-of-finance-fall-2010/lecture-notes/

Other courses : Other courses Many Books MIT or university course

Shivgan Joshi
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