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]
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.