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15 classes, 15 hours (Can be stretched to 50 hours) course in MATLAB [Helpful for FRM exam, and little for CFA

L2 Portfolio & Derivatives as well] By Shivgan Joshi To be Launched soon on Wiziq.com by the author of stockcreditfinancecfa.blogspot.com The only of its kind present on internet on finance, other unique courses by me will be SAS statistical modeling (regression, time series, data cleaning)

The course will take 50 hours to be prepared and can be launched as a recorded course on freegregmatclass.com. All .m files are available on internet which can be accessed anytime from anywhere for revising the class discussions. Quotation: Finance is physics, and maths is the language of physics. Raw maths cannot be linked to physics without proper understanding of physics, hence physics needs to be studied and linked with maths as and where required. Course is divided into 15 classes: 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. 15. Intro to MATLAB; comparison with SAS, R and other tools; jobs Functions, data handling, Array, structures, Advanced data manipulation, graphics display Financial applications: FI, portfolio and Fin Time series Financial terms that are used Black schools, Ito, other quant finance theories Financial time series terms and data prep Financial time series advanced functions FRM 2 book 1 ( risk in general ) FRM 2 book 2 (credit risk) Portfolio optimization and analysis of measures Monte Carlo simulation Technical Analysis, Algorithmic trading and MATLAB CMT and Algo trading Revision, practice and doubt session

Implementation: Each class is of 10 minutes, with 10 slides excluding the trivia, and for the 1 hour it will be of 40 slides.

Class 1 agenda:
Utility of Course How it takes your beyond excel Comparison of MATALB SAS R Excel/VBA 1. 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. 2. 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.

Application of each of the following in Finance, SAS: Base advanced macro SQL Predicitive modeling VBA Macro in Microsfot R open source but similar to SAS, more about Statistics

MATLAB job applications: FI Portfolio Derivative Time series Etc

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

[1]personal.anderson.ucla.edu/kyle.matoba.2014/class1.pdf

Class 2 agenda: Matrix, types of data,


1. 2. 3. 4. 5. 6. 7. Types of array / matrix / data types / vector arrays /cell array/ structure etc Reducing and selecting of Matrix Looping for data handing 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, banks internal rating and pod computations, post that you made

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

1. 2. 3. 4. 5. 6.

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

Recommended readings:
1. 2. [Introductory Course to Matlab with Financial Case Studies by Panayiotis Andreou PhD Candidate PBA UCY] [MATLAB R/ R Reference July 14, 2011by David Hiebeler]

Class 3 agenda: [reading data and advanced graphics]


1. 2. 3. 4. There was array handing, and how to manage data for Quant Finance Preparing data for final analysis for: Algo trading & VAR computations Reading Data from SQL Database and linking the system (advanced and out of scope), MATLAB Database toolbox Making Chart: Polyval(c,x) to make the long elements that can be then used for making chart

Book Recommended for the session: 1. 2. MATLAB Basics and Beyond; This book has lot of graphic and graphics and data type forms. MATLAB Primer

Class 4 agenda: [5 toolboxes of Matlab]:


Five area of MATLAB you need to master 1. 2. 3. 4. 5. StatisticalToolbox Symbolic computation toolbox Fixed income Econometrics (Monte Carlo) Derivatives

Class 5 agenda: [Introduction to Finance & Mathematical theories]


Financial terms used Basics of all terms 1. 2. Black Scholes, Monet Carlo, Stochastic Calculus, Greeks, Decision Tree, Regression Structured Financial Products:, CDS, CDO, MBS (Fixed income from CFA L2/FRM L2)

Generic Knowledge about the industry needed: 1. 2. 3. 4. Spreads changing Bank Rating Consumer Shorting CDS Causes and Role of Goldman on Greece Crisis

Class six agenda: (FTS, CFA L2 Time series inclusion)


Time Series terms: 1. Box Cox transformation method 2. Ito process 3. ARCH GARCH (Volality) 4. Stochastic Volatility

Class 7 agenda: [FTS level 2, advanced ]


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

Class 9 & 10 agenda: [FRM]


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 Credit Risk: KMV model (graphs and how Moodies use it), PD and LGD measures on low default portfolios, FRM L2 library: PD, LGD, Downgrade, Credit Rating Methodologies FRM Level 2 terms in MATLAB Stat toolbox: 1. 2. 3. 4. 5. Copula Modeling Tail Data with the Generalized Pareto Distribution Modeling Data with the Generalized Extreme Value Distribution Bayesian Analysis for a Logistic Regression Model Weibull distribution

Credit risk forcus

Class 11 agenda: [Portfolio, CFA L2 Portfolio Revision]


1. Scenario & Sensitivity Analysis, Portfolio Optimization, Asset liability management

Class 12 agenda: Monte Carlo, other miscellaneous technique Class 13 & 14 agenda: Algorithmic trading and Technical Analysis
1. 2. Trading MATLAB and importance of Visualization Commodity trading in MATLAB

Class 15 agenda: Introduction to HPC, Symbolic computation toolbox. Future work and more research areas Revision, Doubts, projects

References:
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