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Training - Courses

ML01-F: MATLAB Fundamentals for Financial Applications

MATLAB Fundamentals for Financial Applications is a two-day course that provides a working introduction to the MATLAB technical computing environment in the context of financial applications. This course is intended for beginning and intermediate users, though even experienced users will benefit from seeing MATLAB used by professional MathWorks trainers. No prior knowledge of MATLAB is required. Themes of data analysis, visualization, modeling, and programming are explored throughout the course. Hands-on examples and exercises apply basic techniques to financial applications such as time series analysis, fixed income security valuation, portfolio management, options and derivatives, and Monte Carlo simulation. Topics include:

 

  • Working with the MATLAB user interface
  • Working with MATLAB variables and expressions
  • Plotting and visualization
  • M-files
  • Basic statistics and data analysis
  • Data types
  • M-file programming
  • Troubleshooting M-files
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 Detailed course outline

 

Day 1 of 2
Introduction

Objectives:

  • Obtain a quick overview of The MathWorks and MATLAB
  • Discuss course set-up, materials, and logistics.
  • Provide a "big picture" view of the course ahead
Working with the MATLAB User Interface

Objective: This section introduces the main features of the MATLAB integrated design environment and its user interfaces. Many themes for the course are established in this section, to be explored in detail in later sections.

  • Interactively read data
  • Use expressions to compute new variables
  • Interactively plot data
  • Generate a script to reproduce graphics with new data
  • Export graphics for use in other applications
Working with MATLAB Variables and Expressions

Objective: This section introduces MATLAB variables as data containers. Two essential operations are emphasized: creating variables and accessing the data the variables contain. The section also introduces MATLAB operations for computing with data.

  • Creating variables
  • Data import from external sources
  • Data entry from the command line
  • Matrix creation functions
  • Accessing vector and matrix data (indexing)
  • Row-column indexing
  • Linear indexing
  • Logical indexing
  • Vector and matrix arithmetic
  • Matrix and array operations
  • Solving systems of linear equations
  • Mathematical and statistical operations
Plotting and Visualization

Objective: This section introduces the visual side of MATLAB by showing how to create plots of both vector and matrix data. Visualizations complement the numerical capabilities of MATLAB, and should play an equal role in any thorough data analysis.

  • Vector Data
  • Plane and space curves
  • Annotating graphics
  • Working with axes
  • Plot types
  • Matrix Data
  • Images
  • Surfaces
  • Contours
  • Plot types
M-Files

Objective: M-files are the setting for MATLAB programming. This section gives an overview of how to write, edit, run, document, and publish M-files. The distinction between script and function M-files is highlighted.

  • The MATLAB Editor
  • Script M-files
  • File visibility in MATLAB
  • Cells and cell mode
  • Publishing M-files
  • Function M-files
  • Documenting M-files
Day 2
Basic Statistics and Data Analysis

Objective: This section highlights the data processing capabilities of MATLAB by looking at a few of the most common tools used in statistical analysis. MATLAB and the Statistics Toolbox have an extensive library of statistical functions and visualization methods that go well beyond the topics covered in this section. The goal of this section is to become familiar with the basic set-up for carrying out common statistical tasks.

  • Data in the MATLAB Environment
  • Descriptive statistics
  • Covariance and correlation
  • Convolution and smoothing
  • Linear regression models
Data Types

Objective: This section provides an overview of the different types of variables (datacontainers) you can create in MATLAB. Data types differ from one another in the kindof data they may contain and the way the data is organized. The section focuses on twobasic operations associated with any data type: how to construct a new variable of that type and, once it is constructed, how to access and use the data it contains. The section also discusses methods for converting among data types.

  • What is a data type?
  • Data types in the MATLAB environment
  • Methods for constructing and accessing types
  • Converting types
M-File Programming

Objective: MATLAB is a language. You speak the language through programs. Whether you type in a single line of code at the command prompt or assemble multiple M-files into a sophisticated application, you are programming in the M language. This section highlights programming constructs that allow loops, conditional branching, user interactivity, and data import/export.

  • Keywords and constructions
  • Vectorization and preallocation
  • Handling user input
  • File I/O
Troubleshooting M-Files

Objective: Very few programs work perfectly at the first attempt. Tracking down all possible problems and unintended behaviors of a program takes time and effort. In this Chapter we discuss the tools available in MATLAB to assist in the debugging process. We also highlight techniques for measuring code performance.

  • Debugging with the MATLAB Editor
  • Using breakpoints
  • Measuring code performance
(Optionally) Building Graphical User Interfaces

Objective: This section shows you how to put a "friendly face" on your MATLAB programs in the form of a graphical user interface (GUI). GUIs allow users to interact with your programs without having to understand, or even see, the code that does the work in the background. GUIs also allow you to focus user attention on specific input/ output behaviors of a program, while deemphasizing the intermediate mechanisms. GUIs offer many usability advantages over simple M-file programs.

  • What is a GUI?
  • Handle Graphics
  • GUI design
  • Using GUIDE
  • Writing callbacks
  • Modifying GUIs

 


Prerequisites


Familiarity with undergraduate-level mathematics, basic computer operations, financial terminology, and basic financial modeling techniques

Course Length - 2  days

Price - $1,100.00

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