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Lecture 1 - Peng - Introduction to Matlab |
Lecture 1 .pdf and Matlab Files
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| 1.1 Introduction Matlab environment
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| 1.2 Basic syntax
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| 1.3 Vectors, matrices and linear algebra
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| 1.4 Graphics
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| 1.5 Relational and logical operations
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| 1.6 Condition constructs: the if statement
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| 1.7 Loop constructs: for and while loops
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| 1.8 Executable files and subroutines: *.m files
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| 1.9 Examples: Newton Method and CRR-Binomial Model
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Lecture 2 - Stefano - Statistical Analysis |
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Lecture 2 .pdf and Matlab Files
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| 2.1 Descriptive statistics
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| 2.2 Probability distributions
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| 2.3 Loading and saving data
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| 2.4 Multiple linear regression
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| 2.5 Stochastic processes
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Lecture 3 - Stefano - Applications in Finance I |
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Lecture 3 .pdf and Matlab Files
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| 3.1 Monte Carlo simulation of known results
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| 3.2 Monte Carlo simulation: generating sample paths
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| 3.3 Monte Carlo simulation: pricing exotic options
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Lecture 4 - Stefano - Applications in Finance II |
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Lecture 4 .pdf and Matlab Files
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| 4.1 Markovitz portfolio
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| 4.2 Risk Management analysis (Value at Risk)
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Lecture 5 - Stefano - Applications in Finance III |
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Lecture 5 .pdf and Matlab Files
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5.1 Binomial Tree Valuation:
- European and American Option
- Sensitivities: Delta and Gamma
- Exotic Options: American Down-Out Call and Spread Call Option
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5.2 Trinomial Tree Valuation:
- European and American Option
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