# Matlab for Finance Training Course

## Overview

MATLAB integrates computation, visualization and programming in an easy to use environment. It offers Financial Toolbox, which includes the features needed to perform mathematical and statistical analysis of financial data, then display the results with presentation-quality graphics.

This instructor-led training provides an introduction to MATLAB for finance. We dive into data analysis, visualization, modeling and programming by way of hands-on exercises and plentiful in-lab practice.

By the end of this training, participants will have a thorough understanding of the powerful features included in MATLAB’s Financial Toolbox and will have gained the necessary practice to apply them immediately for solving real-world problems.

Audience

• Financial professionals with previous experience with MATLAB

Format of the course

• Part lecture, part discussion, heavy hands-on practice

## Requirements

• Familiarity with linear algebra (i.e., matrix operations)
• Familiarity with basic statistics
• Understanding of financial principles
• Understanding of MATLAB fundamentals

Course options

• If you wish to take this course, but lack experience in MATLAB (or need a refresher), this course can be combined with a beginner’s course and provided as: MATLAB Fundamentals + MATLAB for Finance.

## Course Outline

Overview of the MATLAB Financial Toolbox

Objective: Learn to apply the various features included in the MATLAB Financial Toolbox to perform quantitative analysis for the financial industry. Gain the knowledge and practice needed to efficiently develop real-world applications involving financial data.

• Asset Allocation and Portfolio Optimization
• Risk Analysis and Investment Performance
• Fixed-Income Analysis and Option Pricing
• Financial Time Series Analysis
• Regression and Estimation with Missing Data
• Technical Indicators and Financial Charts
• Monte Carlo Simulation of SDE Models

Asset Allocation and Portfolio Optimization

Objective: perform capital allocation, asset allocation, and risk assessment.

• Estimating asset return and total return moments from price or return data
• Computing portfolio-level statistics, such as mean, variance, value at risk (VaR), and conditional value at risk (CVaR)
• Performing constrained mean-variance portfolio optimization and analysis
• Examining the time evolution of efficient portfolio allocations
• Performing capital allocation
• Accounting for turnover and transaction costs in portfolio optimization problems

Risk Analysis and Investment Performance

Objective: Define and solve portfolio optimization problems.

• Specifying a portfolio name, the number of assets in an asset universe, and asset identifiers.
• Defining an initial portfolio allocation.

Fixed-Income Analysis and Option Pricing

Objective: Perform fixed-income analysis and option pricing.

• Analyzing cash flow
• Performing SIA-Compliant fixed-income security analysis
• Performing basic Black-Scholes, Black, and binomial option-pricing

Financial Time Series Analysis

Objective: analyze time series data in financial markets.

• Performing data math
• Transforming and analyzing data
• Technical analysis
• Charting and graphics

Regression and Estimation with Missing Data

Objective: Perform multivariate normal regression with or without missing data.

• Performing common regressions
• Estimating log-likelihood function and standard errors for hypothesis testing
• Completing calculations when data is missing

Technical Indicators and Financial Charts

Objective: Practice using performance metrics and specialized plots.

• Moving averages
• Oscillators, stochastics, indexes, and indicators
• Maximum drawdown and expected maximum drawdown
• Charts, including Bollinger bands, candlestick plots, and moving averages

Monte Carlo Simulation of SDE Models

Objective: Create simulations and apply SDE models

• Brownian Motion (BM)
• Geometric Brownian Motion (GBM)
• Constant Elasticity of Variance (CEV)
• Cox-Ingersoll-Ross (CIR)
• Hull-White/Vasicek (HWV)
• Heston

Conclusion