Course info

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.