## Part 1

A Brief Introduction to MATLAB

Objectives: Offer an overview of what MATLAB is, what it consists of, and what it can do for you

• An Example: C vs. MATLAB
• MATLAB Product Overview
• MATLAB Application Fields
• What MATLAB can do for you?
• The Course Outline

Working with the MATLAB User Interface

Objective: Get an introduction to the main features of the MATLAB integrated design environment and its user interfaces. Get an overview of course themes.

• MATALB Interface
• Plotting data
• Customizing plots
• Calculating statistics and best-fit line
• Exporting graphics for use in other applications

Variables and Expressions

Objective: Enter MATLAB commands, with an emphasis on creating and accessing data in variables.

• Entering commands
• Creating variables
• Getting help
• Accessing and modifying values in variables
• Creating character variables

Analysis and Visualization with Vectors

Objective: Perform mathematical and statistical calculations with vectors, and create basic visualizations. See how MATLAB syntax enables calculations on whole data sets with a single command.

• Calculations with vectors
• Plotting vectors
• Basic plot options
• Annotating plots

Analysis and Visualization with Matrices

Objective: Use matrices as mathematical objects or as collections of (vector) data. Understand the appropriate use of MATLAB syntax to distinguish between these applications.

• Size and dimensionality
• Calculations with matrices
• Statistics with matrix data
• Plotting multiple columns
• Reshaping and linear indexing
• Multidimensional arrays

## Part 2

Automating Commands with Scripts

Objective: Collect MATLAB commands into scripts for ease of reproduction and experimentation. As the complexity of your tasks increases, entering long sequences of commands in the Command Window becomes impractical.

• A Modelling Example
• The Command History
• Creating script files
• Running scripts
• Publishing scripts

Working with Data Files

Objective: Bring data into MATLAB from formatted files. Because imported data can be of a wide variety of types and formats, emphasis is given to working with cell arrays and date formats.

• Importing data
• Mixed data types
• Cell arrays
• Conversions amongst numerals, strings, and cells
• Exporting data

Multiple Vector Plots

Objective: Make more complex vector plots, such as multiple plots, and use color and string manipulation techniques to produce eye-catching visual representations of data.

• Graphics structure
• Multiple figures, axes, and plots
• Plotting equations
• Using color
• Customizing plots

Logic and Flow Control

Objective: Use logical operations, variables, and indexing techniques to create flexible code that can make decisions and adapt to different situations. Explore other programming constructs for repeating sections of code, and constructs that allow interaction with the user.

• Logical operations and variables
• Logical indexing
• Programming constructs
• Flow control
• Loops

Matrix and Image Visualization

Objective: Visualize images and matrix data in two or three dimensions. Explore the difference in displaying images and visualizing matrix data using images.

• Scattered Interpolation using vector and matrix data
• 3-D matrix visualization
• 2-D matrix visualization
• Indexed images and colormaps
• True color images

## Part 3

Data Analysis

Objective: Perform typical data analysis tasks in MATLAB, including developing and fitting theoretical models to real-life data. This leads naturally to one of the most powerful features of MATLAB: solving linear systems of equations with a single command.

• Dealing with missing data
• Correlation
• Smoothing
• Spectral analysis and FFTs
• Solving linear systems of equations

Writing Functions

Objective: Increase automation by encapsulating modular tasks as user-defined functions. Understand how MATLAB resolves references to files and variables.

• Why functions?
• Creating functions
• Calling subfunctions
• Workspaces
• Subfunctions
• Path and precedence

Data Types

Objective: Explore data types, focusing on the syntax for creating variables and accessing array elements, and discuss methods for converting among data types. Data types differ in the kind of data they may contain and the way the data is organized.

• MATLAB data types
• Integers
• Structures
• Converting types

File I/O

Objective: Explore the low-level data import and export functions in MATLAB that allow precise control over text and binary file I/O. These functions include textscan, which provides precise control of reading text files.

• Opening and closing files
• Reading and writing text files
• Reading and writing binary files

Note that the actual delivered might be subject to minor discrepancies from the outline above without prior notification.

## Part 4

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

## Part 5

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

Objectives: Summarise what we have learned

• A summary of the course
• Other upcoming courses on MATLAB

Note: the actual content delivered might differ from the outline as a result of customer requirements and the time spent on each topic.

### Requirements

• Basic concept of undergraduate-level mathematical knowledge such as linear algebra, probablilty theory and statistics, as well as matrix
• Basic computer operations
• Preferably basic concept of another high-level programming language, such as C, PASCAL, FORTRAN, or BASIC, but not essential
35 Hours

7 hours

14 hours

14 hours

14 hours

14 hours

7 hours

14 hours

7 hours

35 hours

21 hours

14 hours