FINANCIAL MODELLING WITH MATLAB

MODULE LEADER SESSIONS MODULE ASSESSMENT Daniel Giamouridis Computer Lab Project Assignment

EDUCATIONAL AIMS
MATLAB is an industry standard software package used extensively for Finance based computer applications. The course aims to provide students with the necessary tools and expertise to use MATLAB in solving complex financial problems. The course shows how to manipulate symbols, do numerical calculations and graph relationships in a simple and unified manner. The course covers a variety of applications in the fields of Economic theory, Financial Economics and Econometrics.

LEARNING OUTCOMES
Demonstrate full knowledge and understanding of the capabilities and functioning of MATLAB Understand fully the range of financial applications of MATLAB Understand the pricing of complex financial assets Implement theory appropriately and effectively through computer models Apply numerical methods accurately and appropriately

LEARNING AND TEACHING METHODS

Given the nature of the subject matter - theoretical knowledge and ability to apply to practical situations are developed in tandem through a mixture of lectures, computer exercises and technical case studies. Assessment of practical ability through coursework

SYLLABUS
Introduction to MATLAB (Getting started with MATLAB, Arrays: creating, addressing and manipulating, Data I/O, MATLAB graphics, The m-files, Basic programming skills, Debugging) Finance with MATLAB: an introduction (MATLAB toolboxes, Fixed-income securities: analysis and portfolio immunization, Portfolio optimization, Derivatives) The basics of numerical analysis in MATLAB (Function approximation and interpolation, Solving nonlinear equations, Numerical integration) Binomial option pricing (Binomial lattice, European options, American options, Exotics, Sensitivity parameters Greeks) Monte Carlo simulation (The basics, Geometric Brownian Motion, Option pricing, Portfolio VaR) Finite difference methods (Option price PDE, Option valuation by finite difference methods)

READING LIST
Brandimarte, P., Numerical Methods in Finance and Economics: A MATLAB-Based Introduction, 2nd Edition, 2006 and additional material to be distributed during the lectures.