Matlab – An Introduction for Financial Applications with Jörg Kienitz

Matlab – An Introduction for Financial Applications with Jörg Kienitz
Start Date: Week Commencing 13th April 2015
Early Bird: 20% Discount before 27th February 2015
Location: Globally online
This course can be taken as part of the Annual Subscription Service
Quants Hub Programming School 10 Week Format:
Outline:

The course gives an overview of the Matlab system with a view towards financial engineering. Since this is a beginners course we start by giving an introduction to the basic functionality like plotting, handling of matrices, using m-files and running scripts. All examples are based on financial problems. Thus, we aim to implement the Black-Scholes pricing formula, calculate Greeks. Furthermore, we consider writing programs. To this end we develop basic programming skills and show how to transform algorithms to working Matlab code and how to arrange the code. We wish to use the Binomial model as an example. Finally, we cover useful functionality for everyday life such as interpolation, integration or special functions.

The last topic is on Monte Carlo simulation. We wish to outline the development of a Monte Carlo simulation application for option pricing. To this end we cover random number generation, calculating the Monte Carlo estimator as well as the Standard error and presenting the outcome as a convergence table or a convergence plot.

After the course you know the basic functionality of the Matlab system and you have a solid background for tackling financial problems with Matlab. Furthermore, you are able to explore further techniques such as object oriented programming and larger projects with the skills you acquired during this course.

Week 1, Lecture 1. Introduction to Matlab 

  1. The Matlab Workspace
  2. Working with Matlab (Importing Data, Vectors, Matrices, …)
  3. The Help Functionality
  4. Matlab for Financial Engineering – A Perspective

Week 2, Lecture 2. Basic Functionality 

  1. Plotting and Visualizing
  2. 2D Plots and Subplots
  3. Interpolation
  4. 3D Plots
  5. Further Issues with Plotting

Week 3, Lecture 3. Programming in Matlab 

  1. m-files
  2. Script m-files
  3. Introduction to Programming
    1. Standard techniques
    2. Special Matlab topics
    3. Summary of Basic Programming tasks
  4. Example: Black Scholes Merton Formula, Greeks, Binomial Trees

Week 4, Practical Exercise & Webinar Week: This will cover the first 3 weeks of the course. The practical exercise will be marked and feedback given.

Week 5, Lecture 4. Data Types 

  1. Logic Arrays, n-dim Arrays, Sparse Arrays, CellArrays, …
  2. Function Handles
  3. Example: Optimization

Week 6, Lecture 5. Useful Functionality 

  1. Special Functions
  2. Integration and Transforms
  3. Example: Implementing Option Pricing Methods

Week 7, Lecture 6. Monte Carlo

  1. Random Number Generation
  2. Path Generation
  3. Example: MC Application (Path-Dependent Options)

Week 8, Practical Exercise & Webinar Week: This will cover weeks 5-7 of the course. The practical exercise will be marked and feedback given.

Week 9, Revision week.

Week 10, Final Practical Project week.

The final project will be marked with feedback and a pass or fail will given. One retake is allowed if you fail.

About the Presenter:


Jörg Kienitz: Director, Financial Risk Solutions, FSI Assurance, Deloitte & Touche GmbH. Previously: Head of Quantitative Analytics, Dt. Postbank AG, Senior System Architect, Postbank Systems AG Financial Consultant, Reuters Academic: PhD Math, Diploma Math Books (Wiley): (A) Monte Carlo Frameworks in C++ (B) Financial Modelling - Theory, Implementation and Practice with Matlab Code

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PRMIA Certification:

The Professional Risk Managers' International Association (PRMIA) is a non-profit professional association, governed by a Board of Directors directly elected by its global membership, of nearly 90,000 members worldwide. PRMIA is represented globally by over 65 chapters in major cities around the world, led by Regional Directors appointed by PRMIA's Board

The Programming School will be fully certified by PRMIA

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