Sneak Peek of Wiziq Courses

Bloomberg Assessment Test (BAT) Exam Prep Course:

MATLAB For Financial Engineering:

My Courses:

Join our VBA for financial engineering course (http://www.wiziq.com/course/19620-vba-for-financial-engineering-and-modeling) & get 15% discount. Ask for discount code, email - info@qcfinance.in.

Join our Bloomberg Aptitude Test Prep course (http://www.wiziq.com/course/7526-bloomberg-assessment-test-bat-exam-prep) & get 15% discount. Ask for discount code, email - info@qcfinance.in

Join our MATLAB for financial engineering course (http://www.wiziq.com/course/7225-matlab-for-financial-engineering) & get 15% discount. Ask for discount code, email - info@qcfinance.in

MATLAB External Links on Indexing, Structure & Functions

Join our MATLAB for financial engineering course (http://www.wiziq.com/course/7225-matlab-for-financial-engineering) & get 15% discount. Ask for discount code, email - info@qcfinance.in

Three major topics:

Indexing MATLAB

http://www.mathworks.in/company/newsletters/articles/Matrix-Indexing-in-MATLAB/matrix.html

http://www.mathworks.in/help/matlab/math/matrix-indexing.html;jsessionid=fb0677fdc592efa46a4cecf14a0e?s_tid=doc_12b

http://www.psi.toronto.edu/~vincent/matlabindexrepmat.html

http://stackoverflow.com/questions/4842512/matlab-indexing-question

http://www.mathworks.in/help/matlab/learn_matlab/array-indexing.html

http://stackoverflow.com/questions/11023010/matlab-indexing-into-2d-array-using

http://www.mathworks.in/help/matlab/cell-arrays.html

http://www.mathworks.in/help/matlab/indexing.html

http://www.mathworks.com/matlabcentral/newsreader/view_thread/270741

http://blogs.mathworks.com/steve/2008/01/28/logical-indexing/

http://blogs.mathworks.com/loren/2006/06/21/cell-arrays-and-their-contents/#3

http://www.eng.utah.edu/~cs5310/cs1000/notes11.html

http://www.psi.toronto.edu/~vincent/matlabindexrepmat.html

http://www.mathworks.in/help/matlab/math/matrix-indexing.html?s_tid=doc_12b


Structure

http://stackoverflow.com/questions/1882035/how-do-i-access-matlab-structure-fields-within-a-loop

http://www.mathworks.in/help/matlab/structures.html

http://www.mathworks.in/help/matlab/ref/struct.html

http://www.mathworks.in/help/matlab/ref/getfield.html

http://www.cs.utah.edu/~germain/PPS/Topics/Matlab/structures.html

http://www.atmos.washington.edu/~mitchell/matlab_strings.html

http://www.mathworks.in/help/stats/statset.html

http://www.mathworks.in/help/matlab/ref/cell2struct.html

http://www.mathworks.com/matlabcentral/fileexchange/22752-compare-structures

http://www.mathworks.in/help/matlab/matlab_prog/cell-vs-struct-arrays.html


Array & Functions

http://web.cecs.pdx.edu/~gerry/MATLAB/programming/basics.html

http://amath.colorado.edu/computing/Matlab/Tutorial/Programming2.html

http://www.math.tamu.edu/~fnarc/psfiles/matlab_fn.pdf

http://www.mathworks.com/help/matlab/matlab_prog/create-functions-in-files.html

http://ws2.binghamton.edu/fowler/fowler%20personal%20page/EE521_files/MATLAB%20Functions.pdf

http://ocw.mit.edu/resources/res-18-002-introduction-to-matlab-spring-2008/other-matlab-resources-at-mit/tutorial06.pdf

http://www.ele.uri.edu/Courses/ele541/tutorials/matlab.html

http://www.life.illinois.edu/mcb/419/matlab/html/tut3.html 

http://en.wikibooks.org/wiki/MATLAB_Programming/Struct_Arrays

http://www.mathworks.in/products/matlab/examples.html?file=/products/demos/shipping/matlab/strucdem.html


Application:

Portfolio

http://www.mathworks.in/discovery/portfolio-optimization.html

http://www.mathworks.in/help/finance/examples/mean-variance-efficient-frontier.html

http://www.mathworks.in/help/finance/portcons.html


Regression

http://www.mathworks.in/help/stats/regress.html

http://www.mathworks.in/help/stats/understanding-linear-regression-outputs.html

http://www.mathworks.in/help/matlab/data_analysis/linear-regression.html

http://www.mathworks.in/help/econ/examples/time-series-regression-vii-forecasting.html

http://dynsys.uml.edu/tutorials/Regression_Analysis/regression_analysis_tutorial_012005.pdf

http://chemwiki.ucdavis.edu/@api/deki/pages/2962/pdf

http://www.swarthmore.edu/NatSci/echeeve1/Ref/Matlab/CurveFit/LinearCurveFit.html

http://www.mathworks.in/help/nnet/ref/regression.html

20 hours online course on MATLAB for Financial Engineering / Quants

20 Hours Course On MATLAB For Financial Engineering @Wiziq.com

Course Link: http://www.wiziq.com/course/7225-matlab-for-financial-engineering

Link to One on One Course:

http://www.wiziq.com/course/9291-1-on-1-matlab-course

http://www.wiziq.com/course/67041-learning-elementary-matlab-one-to-one-classes

Class	Topic	Duration
1	Introduction To Programming in MATLAB	2 Hours
2	Introduction To Quant Corporate Finance	2 Hours
3	Data Handling & Visualization in MATLAB	2 Hours
4	Five MATLAB Toolboxes for Finance	2 Hours
5	Fixed Income	2 Hours
6	Financial Time Series	2 Hours
7	Distributions & VAR	2 Hours
8	Portfolio Optimization	2 Hours
9	Black Scholes & Monte Carlo	2 Hours
10	Revision	2 Hours

Course highlights:

• Useful for financial analysts, accountants & others to perform analysis.
• Requires no programming knowledge - if you use word, you can use MATLAB.
• Demo class can be registered as per convenience.
• Course consists of 35-40% live classes.
• Scheduling of doubt clearing class as per convenience.

Key points about the course:

1. Requires absolutely no knowledge of programming.
2. Highly flexible and tailored as per needs of individual.
3. Sensitization on derivative, quant, fixed income, portfolio, VAR modelling.
4. Gives introduction to all features of MATLAB in Finance.
5. Provide introduction about all Quantitative roles in Finance.
6. Helpful for passing FRM, CFA, BAT exams.
7. Prepares for Master level studies in Finance or career change.
8. Right mix of data handling, scripting, mathematical skills.
9. Helpful for technical analysis.
10. Contains right blend of learning and practice (Ratio 6:4).

Course Link:

http://www.wiziq.com/course/7225-matlab-for-financial-engineering

To know more about the platform, you can also join our free course on wizIQ:

http://www.wiziq.com/course/708-CFA-Classes-Discussions-Study-Group-for-Self-Prep

Course agenda in detail:

Class 1:

• Utility of course.
• How it takes you beyond excel.
• Comparison of MATLAB-SAS-R-Excel/VBA.

Class 2:

• Matrix, types of data.
• Types of array/matrix/data types/vector arrays etc.
• Reducing and selecting of Matrix.
• Looping for data handing in Excel.
• Movement and arrays of data.
• Data management or data cleaning or data optimization skills used in MATLAB.
• Loop for data correction like addressing blank or data types management.
• Data cleaning, data modifications, data arrays, struct, rating matrix, selection of elements from rating matrix.

Class 3:

• Array handling & how to manage Data for Quant Finance.
• Preparing Data For Final Analysis of Algorithmic Trading & VAR Computations.
• Reading Data from SQL Database & Linking the System.
• MATLAB Database Toolbox.
• Making Chart.

Class 4:

• Statistical Toolbox.
• Symbolic computation toolbox.
• Fixed income. 
• Econometrics (Monte Carlo).
• Derivatives.

Class 5:

• Financial Terms Used.
• Basics of all Terms.
• Generic Knowledge About the industry - Spreads Changing, Bank Rating Consumer, Shorting CDS, Cause & Role of Goldman or Greece Crisis.

Class 6:

• Box Cox Transformation Method.
• Ito Process.
• ARCH GARCH.
• Stochastic Volatility. 

Class 7:

Normalizing and making data relevant by Data cleaning (playing with matrix) example for financial times series.

Class 8:

• Statistical Modelling.
• VAR Modelling.
• Risk Assessment.
• FRM Level 2 Library.
• FRM Level 2 Terms in MATLAB.
• Statistics Toolbox.
• Copula.

Class 9:

• Scenario & Sensitivity Analysis.
• Portfolio Optimization.
• Asset Liability Management.
• Monte Carlo.
• Algorithmic Trading.

Class 10:

Revision Class - Thorough Review of studied areas & doubt clearing session.

Books recommended:

• MATLAB Basics and Beyond (This book has lot of graphics and data type forms).
• MATLAB Primer.

Topics for Advanced MATLAB:

• Functions overloading.
• Random generation.
• Matrix manipulation.
• Advanced indexing.
• Dimension expansion.
• User input.
• Inline functions.
• Newton Raphson.
• Call Function input.
• Call Function.
• Array Slicing.
• Mesh grids.
• Sums & cumulative products.
• Loop: manipulate/do while vs. while/switch cases, while loop, when to use which.

MATLAB CFA overlap:

• Fixed Income (80%)
• Derivatives (80%)
• Quant (100%)
• Portfolio (70%)

Youtube Videos:

References:

http://www.mathworks.in/help/techdoc/ref/struct.html

http://www.mathworks.in/help/techdoc/ref/size.html

http://www.mathworks.in/help/techdoc/ref/f16-42340.html

http://www.mathworks.in/products/matlab/demos.html?file=/products/demos/shipping/matlab/demo.html

MATLAB For Financial Engineering

Uploaded by Shivgan on WizIQ Tutorials

Links To some of the Recordings:

Introduction To MATLAB for Financial Engineering Course

http://www.wiziq.com/online-class/1014226-matlab-for-financial-engineering-2-retake-with-practical

http://www.wiziq.com/online-class/1167596-learning-matlab-portfolio-optimization-class-2

Contact Us: 

Course Teacher: Shivgan Joshi (shivgan@qcfinance.in/shivgan3@gmail.com).

Course Manager: Arpit (arpit@qcfinance.in).



ONE ON ONE CLASSES ALSO AVAILABLE ON REQUEST.

One on One Customized Training:

qcfinance.in believes in personalized touch so that our clients are completely satisfied with our service. In this regard, we offer One on One Customized Training to our clients.

These Trainings are provided on request by our clients & are customized according to their individual needs.

The course structure & timings for these training are highly flexible, classes are scheduled as per the convenience of our clients.

We have four to five teachers specialized in different areas of MATLAB, and our teachers can be reached on flexible timings. Our teachers have also recorded their videos which are uploaded on the course.

Contact Us for More details: info@qcfinance.in

Modules Under Development:

Monte Carlo methods for Equity Projections (MATLAB for Equity Research in Investment Banking), where the main focus is on revenue growth and then growing other things in a custom way. Other things that increases the complexity of models is decisions such as (what to do with extra cash: repo, dividend  debt reduction, etc). Robust environment of MATLAB with lots of predefined functions help the analysis very easy. 

http://www.mathworks.in/help/finance/portsim.html.

Step 1: Returns.
Step 2: Correlations.
Step 3: Random number.
Step 4: Running simulation.

Quantitative Game theory applications in MATLAB, where the search is for Nash Equilibrium and finding out the best strategy that work given what would happen at each path. The area is niche and involves cooperative and non cooperative games. 

MATLAB Finance for Fixed Income / Credit Risk (Analysis and Data Cleaning)/ Passive smart ETF

Financial Applications of MATLAB 

Our course on MATLAB

http://stockcreditfinancecfa.blogspot.in/2012/07/50-hours-course-in-matlab-for-finance.html

WizIQ Link

http://www.wiziq.com/course/7225-matlab-for-financial-engineering

One on One Course:
http://www.wiziq.com/course/9291-1-on-1-matlab-course

Join our MATLAB for financial engineering course (http://www.wiziq.com/course/7225-matlab-for-financial-engineering) & get 15% discount. Ask for discount code, email - info@qcfinance.in

Website- http://qcfinance.in/
YouTube Channel- http://www.youtube.com/user/shivbhaktajoshi

In this post I am going to talk about how to use MATLAB for Financial Risk Management. Also for Fixed Income in general. There is a big file of fixed income of 500 pages which MATLAB has provided.

Areas to look at in Finance to start with are:

1. For those who have not done Programming before the logical flow like For statement becomes the first Hurdle.
2. Regression using MATLAB.
3. Symbolic computations.
4. Making Chart: Polyval(c,x) to make the long elements that can be then used for making chart.
5. Different way to make different type of matrix, like equal, incremental etc.
6. Matrix division vs Element by element division.

Program 1: Consider writing a user-defined function that searches a matrix input argument for the element with the largest value and returns the indices of that element.

Book Review: MATLAB Basics and Beyond: This book has lot of graphic and graphics and data type forms the heart of stuff that are done.

Book Review: MATLAB Primer

FRM Level 2 terms in MATLAB Stat toolbox:

• Copula
• Modelling Tail Data with the Generalized Pareto Distribution.
• Modelling Data with the Generalized Extreme Value Distribution.
• Bayesian Analysis for a Logistic Regression Model.
• Weibull distribution.

Data Cleaning and management with MATLAB:

1. Playing with Array & Matrix.
2. Errors and data cleaning Excel.
3. Programs you have made on VBA.
4. Old programs in MATLAB (questions on that).
5. Movement and arrays of data.
6. Time series analysis in MATLAB.
7. Types of array / matrix / data types / vector arrays etc.
8. Reducing and selecting of Matrix.
9. Looping for data handing in Excel.
10. Reading Data from SQL Database and linking the system (advanced and out of scope), MATLAB Database toolbox.
11. Interpretation and Control.
12. Trading MATLAB and importance of Visualization.
13. Commodity trading in MATLAB.
14. SAS vs MATLAB for Intermediary display.
15. CDS MATLAB / VAR 99% VAR 1 day, this is interesting probability of default as well, bond valuation in MATLAB using some data.
16. Loops for Array.
17. CDS in MATLAB, article of Markit.
18. Query Builder SQL Array.
19. Struct http://www.mathworks.in/help/techdoc/ref/struct.html.

There was array handing, and how to manage data for Quant Finance...

Preparing data for final analysis for: Algo trading & VAR computations

Five area of MATLAB you need to master:

1. StatisticalToolbox
2. Symbolic computation toolbox
3. Fixed income
4. Econometrics (Monte Carlo)
5. Derivatives

Generic Knowledge about the industry needed:

• Data -- Inter-phasing -- Output
• Spreads changing
• Bank Rating Consumer
• Shorting CDS
• Causes and Role of Goldman on Greece Crisis

Interesting areas in MATLAB Finance where I am researching solutions are:

1. Data management or data cleaning or data optimization skills used in MATLAB.
2. Loop for data correction like addressing blank or data types management.
3. Optimizing data for time series.

Three job profiles:

1. Bond spreads, CDS, fixed income etc (M).
2. VAR, PoD, bond portfolio, companies bond, trading data and VAR for that, etc (G).
3. Data cleaning for Time series, other data cleaning and optimizations (E).

References:
http://www.mathworks.in/help/techdoc/ref/struct.html
http://www.mathworks.in/help/techdoc/ref/size.html
http://www.mathworks.in/help/techdoc/ref/f16-42340.html
http://www.mathworks.in/products/matlab/demos.html?file=/products/demos/shipping/matlab/nddemo.html

MATLAB for Finance by qcfinance.in

This article will talk about various applications in MATLAB for finance. We have taken in real time issues in the recent months and discussed how we can simulate some on them on MATLAB.

MATLAB can be learned and used for all of the following purposes:

1. Old work ppt: Reliability, HPC, simulink etc.
2. Data cleaning, data modifications, data arrays, struct, rating matrix, selection of elements from rating matrix, banks internal rating and pod computations, post that you made.
3. Matlab for game theory.
4. For fixed income Bond pricing, CDS, and other leveraged fixed income tools on MATLAB.
5. Matlab for distributions and monte carlo.
6. Data handing from sql and other parameters for MATLAB.
7. MATLAB HPC toolbox to be used for various other options.
8. Neural network in Finance.

There were few articles I found on MATLAB Credit Risk and there were many more on their website:

http://www.mathworks.in/products/finance/

Conclusion

• MATLAB Credit Risk : Credit Risk Modeling Using Excel and VBA is a good book to look out for excel based modeling which then can be taken into MATLAB (link was on the references of the above articles)
• As far as the comparison goes, R vs MATLAB, MATLAB is much easier and the only reason people do R in west is because R is free and MATLAB is very expensive.
• As per my knowledge R and SAS are not so much user friendly, although when it comes to hardcore data handling SAS is much much better. MATLAB is good for easier applications.

Quantitative Analysis & Fixed Income Research:

1. Back-testing of investment strategies.
2. Credit risk modelling using KMV approach (Merton Model), there is a tool of Moodies, and also work on Municipal bonds (question in interivews).
3. Monte-Carlo simulation.
4. Portfolio optimization and asset allocation.
5. 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.
6. Mark-to-market of fixed income instruments.
7. Credit research reports covering liquidity and debt analysis (Equity based).
8. Yield and CDS spreads.

Thus looking at them can help us understand how MATLAB can help us to work on these specific areas.

Passive Smart ETF

CMO

http://www.mathworks.in/help/fininst/using-collateralized-debt-obligations-cmo-.html
http://www.mathworks.in/help/fininst/cmoschedcf.html
http://www.mathworks.in/help/fininst/mbscfamounts.html
http://www.mathworks.in/help/fininst/cmoseqcf.html
http://www.mathworks.in/help/fininst/example-collateralized-debt-obligations-cmos-.html
http://en.wikipedia.org/wiki/Collateralized_mortgage_obligation

Links to toolbox:

statistical_toolbox.pdf

econometrics_toolbox.pdf

financial_derivatives_toolbox.pdf

financial_time_series_toolbox.pdf

fixed_income_toolbox.pdf

financial_toolbox.pdf

Some Books to refer:

• Elementary Stochastic Calculus With Finance in View (Advanced Series on Statistical Science & Applied Probability, Vol 6) (Advanced Series on Statistical Science and Applied Probability).
• Financial Options: From Theory to Practice.
• Paul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition).
• Monte Carlo Methodologies and Applications for Pricing and Risk Management. 
• Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance / Springer Finance Textbooks).
• Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond.
• The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation.
• Credit Derivatives Pricing Models: Models, Pricing and Implementation (The Wiley Finance Series).

MATLAB For Financial Engineering

Uploaded by Shivgan on WizIQ Tutorials

One on One Customized Training:

qcfinance.in believes in personalized touch so that our clients are completely satisfied with our service. In this regard, we offer One on One Customized Training to our clients.

These Training are provided on requests by our clients & are customized according to their individual needs.

The course structure & timings for these training are highly flexible, classes are scheduled as per the convenience of our clients. 

Contact Us for More details: info@qcfinance.in

MATLAB for Finance FRM CFA