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Course Li nk:
HTTP: //WWW.WI ZI Q.COM/COURSE/7225-
MATLAB-FOR-FI NANCI AL-ENGI NEERI NG

Wiziq Course: MATLAB For Financial
Engineering (20 Hours in 10 Classes)
Contents
About the Author
Disclaimer
Course Highlights
Prerequisite
Introduction To The Course
What Will You Learn??
Why Should You Enroll in This Course??
Course Package
Course Outline
Inside Each Class
References
Conclusion
My Other Courses on Wiziq


About The Author
Instructor has 70% score in BAT i.e. approximately
equal to 90 Percentile Globally.
He has cleared CFA Level 1 & FRM Level 1 Exams.
Is Highly experienced in taking classes online on
wiziq for more than a year.
Website: www.freegregmatclass.com
Blog: stockcreditfinancecfa.blogspot.in

Disclaimer
All terms (eg. MATLAB) are copyrighted to there
original source.
This video is intended to learning, research &
reporting about MATLAB.
I dont represent MATLAB, nor am I an authorized
trainer.
I dont claim or guarantee the accuracy of
information presented in this video.
Course Highlights
Useful for financial analysts, accountants etc. to
perform analysis.
Requires no programming knowledge - if you use MS
word, you can use MATLAB.
Highly flexible and tailored as per needs of
individual.
Prerequisites
Absolutely no knowledge in Programming required.
This course will be independent of any earlier
knowledge. Thus, will help in achieving a Level
Playing Field for all.
Each class is designed to link Financial Engineering
with MATLAB.
Utilizing MATLAB for Technical Analysis is the Goal.
Introduction To The Course
If you are working as a financial analyst or you are an
aspiring financial analyst, knowing MATLAB can
help you be productive and enhance your employ-
ability.
MATLAB is a sophisticated statistical and scientific
analysis tool as well as a numerical computing
environment which can help you visualize and
interpret sets of data effectively.
The best aspect of MATLAB is that you dont need a
programming background to program using
MATLAB. Its simple to pick up and really versatile in
usage.

What Will You Learn??

Provide introduction about all Quantitative roles in
Finance.
Sensitization on derivative, quant, fixed income, portfolio,
VAR modelling.
Examples with real data to enhance your IQ (US
Municipal Bonds).
Under the applicability and use on Bloomberg or Reuter
Websites (Introduction to tickers, RIC).
Real recent examples and real cases which are hot in the
market.
New Interpretation, terminologies, and basic IQ for the
subject covered.
Helpful for technical analysis and Financial Time Series
Analysis.
Why Should You Enroll For This Course?

Highly flexible and tailored as per needs of individual (10-50 %
Financial Engineering & 10-50% MATLAB).
Feel the same as you while you are on the trading floor /
market.
Helpful for passing FRM, CFA, BAT exams also prepares for
Master level studies in Finance or career change.
Right mix of data handling, scripting, mathematical skills.
Contains right blend of learning and practice (Ratio 6:4).
Gain confidence in Quant modelling which can be expanded to
any platform.
Gain knowledge about exams like CFA, FRM, BAT, SAS etc.
Improve your chances of passing exams, getting in quant
profiles.
This course will help you prepare for Quant, Derivative, fixed
income, portfolio sections of CFA, FRM, BAT etc.

Course Package

10 pre-recorded classes of 2 hour each, total 20
hours.
Course can be completed in 1-2 months depending
on how you structure your study.
4 Assessment tests.
1 Formula sheet.

NOTE: Number of Tests & Number of Tutorials will
be increased with time.

Introduction To Financial Risk
Back-testing of investment strategies.
Credit risk modelling using KMV approach (Merton Model),
tools of Moodies, Municipal bonds, etc.
Monte-Carlo simulation , Portfolio Optimization.
Statistical modelling, variance-covariance modelling, value
at risk modelling, regular risk reporting (hot spot reports,
concentration reports), risk assessment and style analysis of
money managers, term structure modelling, rich cheap
analysis, Mark-to-market, Yield and CDS spreads.
Credit research reports covering liquidity and debt analysis
(Equity based).
The biggest section though is financial time series.
MATLAB Applications
R vs. MATLAB MATLAB is much easier & the only
reason people do R in west is because R is free &
MATLAB is very expensive.
R & SAS are not so much user friendly, although
when it comes to hardcore data handling SAS is
much better. MATLAB is good for easier applications
like back testing.
MATLAB Credit Risk Credit Risk Modeling using
Excel & VBA (helpful for programming in MATLAB).
Financial Time Series
Q. MATLAB or SAS which does it?
A. Both are used, SAS is in fact very popular in data handling.
Q. Is it used in Fixed income as well?
A. Not much. But you can learn some basics of how to do that on
SAS as well, esp times series.
Q. Which books to read on the subject and then how to apply the
same on MATLAB?
A. Most of applications are in trading, including trading on bonds,
CDO and CDS.

Course Outline

Class Duration
1.
Introduction to Programming on MATLAB. Comparison with R , SAS,
Excel, etc.
2 Hours
2.
Introduction to Quant Finance: Derivatives, Fixed Income, Portfolio,
VAR
2 Hours
3.
Data types and cell arrays, Data Handling & Visualization in MATLAB, 2-
D and 3-D graphs
2 Hours
4.
Structures, strings, logical operators, control flow, data analysis and
visualization
2 Hours
5.
Polynomials, optimization, integration and differentiation
2 Hours
6.
Five MATLAB toolboxes for Financial Engineering
2 Hours
7.
Financial times series, Distributions, VAR
2 Hours
8.
Portfolio Optimization
2 Hours
9.
Black Sholes and Monte Carlo
2 Hours
10.
Revision & Extra sessions
2 Hours



INSIDE EACH CLASS
Class 1: Introduction to Programming
on MATLAB
Basic Introduction to MATLAB.
Use of MATLAB for Technical Analysis.
Functions in MATLAB with Examples &
Terminology.
Comparison with R, SAS, Excel, etc.
Revision of Looping, Functions, Structures, etc.
Classes & Arrays.
Class 2: Introduction to Quant Finance
Introduction to Quant Finance: Derivatives,
Fixed Income, Portfolio, VAR,etc.
Structures & Arrays.
Revision of Looping, Function, structures,
classes, arrays.
Logical Indexing.
Local indexing.
Function overloading

Class 3: Data Types & Cell Arrays
Data Types & Cell Arrays.
Data Handling & Visualization in MATLAB.
2D & 3D Plotting in MATLAB.
CFA Quant regression & Time Series.
Preparing Data for FTS.
Simple Example of Time Series.
CFA Level 2 FTS Implementation.

Class 4: Structures, strings, logical operators,
control flow, data analysis & visualization
Structures
Strings
Logical Operators
Control Flow
Data Analysis & Visualization
Copula in MATLAB
Extreme Value Theorem
Pareto Distribution
Binomial Theorem For Bonds
Monte Carlo for MBS
Portfolio Construction & Portfolio VAR.
Class 5:Polynomials, optimization,
Integration & Differentiation
Polynomials.
Optimization.
Integration & Differentiation.
Merton Model/KMV/BS For Default Modeling.
Moody KMV Portfolio Questions.
Credit Default Swap (CDS).
FRM 2 Level 2.
Class 6: Five MATLAB toolboxes for
Financial Engineering
Five MATLAB Toolboxes For Financial Engineering.
Optimization Toolbox.
Econometric Toolbox.
Statistics Toolbox.
Fixed Income Toolbox.
Symbolic Toolbox.
Class 7: Financial times series,
Distributions, VAR
Financial Time Series (FTS).
Distributions.
VAR.

Class 8: Portfolio Optimization
CAPM
CML
SML
Alpha
Information Ratio
1. Sharpe's
2. Trenor's
3. Jensons's
4. M Square

Class 9: Black Sholes and Monte Carlo
Black Scholes Model.
Monte Carlo Simulation.
Merton Model.
Class 10: Revision & Extra sessions
Thorough Review of whatever have been studied in
previous classes.
This class can be conducted as per enrollees
requirements.
Doubt Clearing session.

Relevance
CFA Level 2 and FRM Level 2 Fixed income.
Also helpful in passing these 2 exams.
Financial time series and Quant of CFA level 2.
Algorithmic trading.
References

Financial Toolbox user guide (1500 pages).
Fixed Income Toolbox 208.
MATLABR (50 pages).

More Online Resources on MATLAB
Finance
Numerical Methods in Finance and Economics: A
MATLAB-Based Introduction (Statistics in Practice)
Simulation and Optimization in Finance + Website:
Modeling with MATLAB By Dessislava Pachamanova,
Frank J. Fabozzi, CFA
http://ocw.mit.edu/courses/sloan-school-of-
management/15-070-advanced-stochastic-
processes-fall-2005/lecture-notes/
http://ocw.mit.edu/courses/sloan-school-of-
management/15-450-analytics-of-finance-fall-
2010/readings/

My Other Courses on Wiziq
http://www.wiziq.com/course/7526-bloomberg-
assessment-test-bat-exam-prep
http://www.wiziq.com/course/697-GMAT-Study-
Group
http://www.wiziq.com/course/9291-1-on-1-matlab-
course
Soon To Be Started:
1. A course on CFT/CMT.
2. A course on VBA.
3. A course on R.
THANK YOU