A crash course for financial computing using MATLAB. Designed for first or second semester of financial engineering students. The course will emphasize basic financial computation techniques, whereby students get a taste of how to code in MATLAB and learn standard methodologies for two classcial quantative finance problems: portfolio optimizaiton and option pricing. An alternative version using R will provided soon.

Two data are used for examples.

• Monthly close prices data of 10 stocks from 2000 to 2019. Used for portfolio optimzation

• Daily stock price of JP Morgan from 2000 to 2019. Used for option pricing

You are free to use these notes. However, PLEASE CREATE A FORK.

Everything is distributed under Creative Commons Attribution Share Alike 4.0 (You can use it freely but you are expected to post source of derivative work).

Contact: @JacquesYL or [email protected]

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