Self-Paced Matlab – An Introduction for Financial Applications

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


Lecture 2. Basic Functionality 

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


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

Lecture 4. Data Types 

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


Lecture 5. Useful Functionality 

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


Lecture 6. Monte Carlo

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

Final Practical Project.

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