Course Outline

Overview of the MATLAB Financial Toolbox for Government

Objective: Acquire the skills to utilize the various features included in the MATLAB Financial Toolbox to conduct quantitative analysis for the financial industry. Gain the knowledge and practical experience needed to develop real-world applications involving financial data effectively.

  • Asset Allocation and Portfolio Optimization
  • Risk Analysis and Investment Performance
  • Fixed-Income Analysis and Option Pricing
  • Financial Time Series Analysis
  • Regression and Estimation with Missing Data
  • Technical Indicators and Financial Charts
  • Monte Carlo Simulation of SDE Models

Asset Allocation and Portfolio Optimization for Government

Objective: Perform capital allocation, asset allocation, and risk assessment.

  • Estimate asset return and total return moments from price or return data.
  • Compute portfolio-level statistics, such as mean, variance, value at risk (VaR), and conditional value at risk (CVaR).
  • Conduct constrained mean-variance portfolio optimization and analysis.
  • Examine the time evolution of efficient portfolio allocations.
  • Perform capital allocation.
  • Account for turnover and transaction costs in portfolio optimization problems.

Risk Analysis and Investment Performance for Government

Objective: Define and solve portfolio optimization problems.

  • Specify a portfolio name, the number of assets in an asset universe, and asset identifiers.
  • Define an initial portfolio allocation.

Fixed-Income Analysis and Option Pricing for Government

Objective: Perform fixed-income analysis and option pricing.

  • Analyze cash flow.
  • Conduct SIA-Compliant fixed-income security analysis.
  • Perform basic Black-Scholes, Black, and binomial option-pricing.

Financial Time Series Analysis for Government

Objective: Analyze time series data in financial markets.

  • Conduct data math operations.
  • Transform and analyze data.
  • Perform technical analysis.
  • Create charts and graphics.

Regression and Estimation with Missing Data for Government

Objective: Perform multivariate normal regression with or without missing data.

  • Conduct common regressions.
  • Estimate the log-likelihood function and standard errors for hypothesis testing.
  • Complete calculations when data is missing.

Technical Indicators and Financial Charts for Government

Objective: Practice using performance metrics and specialized plots.

  • Moving averages.
  • Oscillators, stochastics, indexes, and indicators.
  • Maximum drawdown and expected maximum drawdown.
  • Create charts, including Bollinger bands, candlestick plots, and moving averages.

Monte Carlo Simulation of SDE Models for Government

Objective: Create simulations and apply SDE models.

  • Brownian Motion (BM).
  • Geometric Brownian Motion (GBM).
  • Constant Elasticity of Variance (CEV).
  • Cox-Ingersoll-Ross (CIR).
  • Hull-White/Vasicek (HWV).
  • Heston.

Conclusion for Government

Requirements

  • Familiarity with linear algebra (i.e., matrix operations)
  • Familiarity with basic statistics
  • Understanding of financial principles
  • Understanding of MATLAB fundamentals

Course Options for Government

  • If you wish to take this course but lack experience in MATLAB (or need a refresher), the course can be combined with a beginner's course and offered as: MATLAB Fundamentals + MATLAB for Finance.
  • If you wish to adjust the topics covered in this course (e.g., remove, shorten, or lengthen coverage of certain features), please contact us to arrange.
 14 Hours

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