Foundations of Computational Finance with MATLAB

Ed McCarthy

• Publisher: Wiley
• Year: 2018
• Print ISBN:
  9781119433859
• Edition: 1
• eBook ISBN:
  9781119433873
• Topic: Business
• Subtopic: Corporate Finance
• Index: Business

Graduate from Excel to MATLAB® to keep up with the evolution of finance data

Foundations of Computational Finance with MATLAB® is an introductory text for both finance professionals looking to branch out from the spreadsheet, and for programmers who wish to learn more about finance. As financial data grows in volume and complexity, its very nature has changed to the extent that traditional financial calculators and spreadsheet programs are simply no longer enough. Today's analysts need more powerful data solutions with more customization and visualization capabilities, and MATLAB provides all of this and more in an easy-to-learn skillset.

This book walks you through the basics, and then shows you how to stretch your new skills to create customized solutions. Part I demonstrates MATLAB's capabilities as they apply to traditional finance concepts, and PART II shows you how to create interactive and reusable code, link with external data sources, communicate graphically, and more.

• Master MATLAB's basic operations including matrices, arrays, and flexible data structures
• Learn how to build your own customized solutions when the built-ins just won't do
• Learn how to handle financial data and industry-specific variables including risk and uncertainty

• Adopt more accurate modeling practices for portfolios, options, time series, and more

MATLAB is an integrated development environment that includes everything you need in one well-designed user interface. Available Toolboxes provide tested algorithms that save you hours of code, and the skills you learn using MATLAB make it easier to learn additional languages if you choose to do so. Financial firms are catching up to universities in MATLAB usage, so this is skill set that will follow you throughout your career. When you're ready to step into the new age of finance, Foundations of Computational Finance with MATLAB provides the expert instruction you need to get started quickly.

PART I
MATLAB Conventions and Basic Skills

CHAPTER 1
Working with MATLAB® Data

1.1 Introduction

MATLAB® is an abbreviation of “matrix laboratory,” and while the ability to work with matrices is still an essential part of the program, the software also works with numerous other data types. This chapter examines several of the different data types you are likely to encounter and the functions needed to manipulate them.

This material and the subsequent chapters assume you know how to open MATLAB, enter commands in the Command Window, and create and identify variables and their types in the Workspace. If you lack those skills, consider working through the MATLAB Onramp training program, which is available free online in The MathWorks® MATLAB Academy (matlabacademy.mathworks.com) and takes just a few hours to complete.

Key concepts introduced in this chapter include:

• MATLAB array types
• Flexible data structures

Software required for this chapter: MATLAB base program.

1.2 Arrays

An array is a data series arranged in rows and columns. The usual notations to denote the number of rows and columns are r × c (rows by columns) or m × n (also signifying rows by columns). Table 1.1 shows the MATLAB terminology used to distinguish arrays.

Table 1.1 MATLAB Data Terminology

Term	Size	Example
Scalar	1 × 1 (1 row by 1 column)	7
Row vector	1 × n (1 row by n columns)	[1 2 3]
Column vector	m × 1 (m rows by 1 column)
Matrix	m × n (m rows by n columns)

The term array in MATLAB is potentially confusing because the program allows for aggregating multiple data types in arrays, so it's often easiest to think of an array as a container for holding multiple values in one variable (except for scalars, which have one value). In some instances, those values are of the same type: numbers or characters (letters, for example), but other array types can hold different value types within one variable. Table 1.2 summarizes the more common array types; subsequent sections cover each type in more detail.

Table 1.2 MATLAB Array Types

Array Type	Description	Example
Cell	Cells can contain any data type including strings, numbers, or combinations of the two.	Row vector cell array: {1, ‘a’, ‘text’, 1:10} 2 × 2 cell array matrix: {1, ‘a’; ‘text’, 1:10}
Character	Sequence of characters, typically short pieces of text	‘a b c’
Dates and times	Used to represent ...

Table of contents

• Cover
• Introduction
• PART I: MATLAB Conventions and Basic Skills
• PART II: Financial Calculations with MATLAB
• APPENDIX 1: Sharing Your Work
• APPENDIX 2: Reference for Included MATLAB® Functions
• Index
• End User License Agreement