Course Outline
Overview of the MATLAB Financial Toolbox for Government
Objective: Learn to apply the various features included in the MATLAB Financial Toolbox to perform quantitative analysis for the financial industry. Gain the knowledge and practice needed to efficiently develop real-world applications involving financial data.
- 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.
- Estimating asset return and total return moments from price or return data
- Computing portfolio-level statistics, such as mean, variance, value at risk (VaR), and conditional value at risk (CVaR)
- Performing constrained mean-variance portfolio optimization and analysis
- Examining the time evolution of efficient portfolio allocations
- Performing capital allocation
- Accounting for turnover and transaction costs in portfolio optimization problems
Risk Analysis and Investment Performance for Government
Objective: Define and solve portfolio optimization problems.
- Specifying a portfolio name, the number of assets in an asset universe, and asset identifiers.
- Defining an initial portfolio allocation.
Fixed-Income Analysis and Option Pricing for Government
Objective: Perform fixed-income analysis and option pricing.
- Analyzing cash flow
- Performing SIA-Compliant fixed-income security analysis
- Performing basic Black-Scholes, Black, and binomial option-pricing
Financial Time Series Analysis for Government
Objective: Analyze time series data in financial markets.
- Performing data math
- Transforming and analyzing data
- Technical analysis
- Charting and graphics
Regression and Estimation with Missing Data for Government
Objective: Perform multivariate normal regression with or without missing data.
- Performing common regressions
- Estimating log-likelihood function and standard errors for hypothesis testing
- Completing 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
- 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
- If you wish to take this course but lack experience in MATLAB (or need a refresher), the course can be combined with an introductory session, offered as: MATLAB Fundamentals + MATLAB for Finance.
- If you require adjustments to the topics covered in this course (e.g., removing, shortening, or extending coverage of certain features), please contact us to arrange a customized program for government.
Testimonials (2)
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Trainer took the initiative to cover additional content outside our course materials to improve our learning.
