Foundations of Computational Finance with MATLAB

Foundations of Computational Finance with MATLAB

by Ed McCarthy
Released June 2018
Publisher(s): Wiley
ISBN: 9781119433859

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Book description

Graduate from Excel to MATLAB® to keep up with the evolution of finance data

Foundations of Computational Finance with MATLAB® is an introductory text for both finance professionals looking to branch out from the spreadsheet, and for programmers who wish to learn more about finance. As financial data grows in volume and complexity, its very nature has changed to the extent that traditional financial calculators and spreadsheet programs are simply no longer enough. Today’s analysts need more powerful data solutions with more customization and visualization capabilities, and MATLAB provides all of this and more in an easy-to-learn skillset.

This book walks you through the basics, and then shows you how to stretch your new skills to create customized solutions. Part I demonstrates MATLAB’s capabilities as they apply to traditional finance concepts, and PART II shows you how to create interactive and reusable code, link with external data sources, communicate graphically, and more.

  • Master MATLAB’s basic operations including matrices, arrays, and flexible data structures
  • Learn how to build your own customized solutions when the built-ins just won’t do
  • Learn how to handle financial data and industry-specific variables including risk and uncertainty
  • Adopt more accurate modeling practices for portfolios, options, time series, and more

MATLAB is an integrated development environment that includes everything you need in one well-designed user interface. Available Toolboxes provide tested algorithms that save you hours of code, and the skills you learn using MATLAB make it easier to learn additional languages if you choose to do so. Financial firms are catching up to universities in MATLAB usage, so this is skill set that will follow you throughout your career. When you’re ready to step into the new age of finance, Foundations of Computational Finance with MATLAB provides the expert instruction you need to get started quickly. 

Table of contents

  1. Cover
  2. Introduction
    1. Why You Should Read This Book
    2. The Intended Reader
    3. Why MATLAB®?
    4. How to Use This Book
    5. Font Conventions
    6. About the Author
    7. MathWorks Information
    8. References
  3. PART I: MATLAB Conventions and Basic Skills
    1. CHAPTER 1: Working with MATLAB® Data
      1. 1.1 Introduction
      2. 1.2 Arrays
      3. 1.3 Character Arrays
      4. 1.4 Flexible Data Structures
      5. References
      6. Further Reading
    2. CHAPTER 2: Working with Dates and Times
      1. 2.1 Introduction
      2. 2.2 Finance Background: Why Dates and Times Matter
      3. 2.3 Dates and Times in MATLAB
      4. References
      5. Notes
    3. CHAPTER 3: Basic Programming with MATLAB®
      1. 3.1 Introduction
      2. 3.2 MATLAB Scripts and Functions
      3. References
    4. CHAPTER 4: Working with Financial Data
      1. 4.1 Introduction
      2. 4.2 Accessing Financial Data
      3. 4.3 Working with Spreadsheet Data
      4. 4.4 Data Visualization
      5. References
  4. PART II: Financial Calculations with MATLAB
    1. CHAPTER 5: The Time Value of Money
      1. 5.1 Introduction
      2. 5.2 Finance Background
      3. 5.3 MATLAB Time Value of Money Functions
      4. 5.4 Internal Rate of Return
      5. 5.5 Effective Interest Rates
      6. 5.6 Compound Annual Growth Rate
      7. 5.7 Continuous Interest
      8. 5.8 Loans
      9. References
    2. CHAPTER 6: Bonds
      1. 6.1 Introduction
      2. 6.2 Finance Background
      3. 6.3 MATLAB Bond Functions
      4. 6.4 Bond Analytics
      5. 6.5 Callable Bonds
      6. References
      7. Further Reading
      8. Note
    3. CHAPTER 7: Dealing with Uncertainty and Risk
      1. 7.1 Introduction
      2. 7.2 Overview of Financial Risk
      3. 7.3 Data Insights
      4. 7.4 Data Relationships
      5. 7.5 Creating a Basic Simulation Model
      6. 7.6 Value at Risk (VaR)
      7. References
      8. Further Reading
      9. Notes
    4. CHAPTER 8: Equity Derivatives
      1. 8.1 Introduction
      2. 8.2 Options
      3. 8.3 Option Pricing Models
      4. 8.4 Options' Uses
      5. 8.5 Appendix: Other Types of Derivatives
      6. References
      7. Further Reading
      8. Note
    5. CHAPTER 9: Portfolios
      1. 9.1 Introduction
      2. 9.2 Finance Background
      3. 9.3 Portfolio Optimization
      4. 9.4 MATLAB Portfolio Object
      5. References
    6. CHAPTER 10: Regression and Time Series
      1. 10.1 Introduction
      2. 10.2 Basic Regression
      3. 10.3 Working with Time Series
      4. References
  5. APPENDIX 1: Sharing Your Work
    1. A1.1 Introduction
    2. A1.2 Publishing a Script
    3. References
  6. APPENDIX 2: Reference for Included MATLAB® Functions
  7. Index
  8. End User License Agreement

Product information

  • Title: Foundations of Computational Finance with MATLAB
  • Author(s): Ed McCarthy
  • Release date: June 2018
  • Publisher(s): Wiley
  • ISBN: 9781119433859