Course syllabus - Analytical Finance with MATLAB

Objectives

The objective of the course is to give the student the opportunity to acquire advanced knowledge in solving problems in financial engineering using MATLAB.

Learning outcomes

Upon completion of the course, the student is expected to be able to

1. create user interfaces in MATLAB
2. chart, analyze and compute cash flows of given financial data, including rates of return and volatility
3. create financial time series objects and manipulate and analyze financial time series data
4. do the basics of portfolio analysis
5. evaluate the price of equity derivatives and interest-rate based derivatives
6. create MATLAB programs that perform basic financial tasks

Course content

- Introduction to MATLAB and relevant packages for statistical and financial applications
- Designing and creating User Interfaces (UIs)
- Introduction to data analysis
- Analysis of historical data (prices)
- Properties of asset prices
- Analysis of financial time series
- Basics of portfolio analysis
- Analysis of cash flows and fixed-income market
- Equity market and security derivatives
- Forward rates and interest rate derivatives

Specific requirements

At least totally 60 credits in the engineering, natural sciences, business administration or economics areas including Introduction to Financial Mathematics, 7.5 credits, out of which 4.5 credits must be completed at the beginning of the course, Numerical Methods with MATLAB, 7.5 credits, out of which 2.5 credits must be completed at the beginning of the course, and Probability, 7.5 credits, out of which 3 credits must be completed at the beginning of the course, or equivalent.

Examination

PRO1, Project report, 4.5 credits, written reports concerning learning outcomes 1-6, grades Fail (U), Pass (G) or Pass with distinction (VG).
LAB1, Laboratory work, 1.5 credits, laboratory works and oral performance concerning learning outcomes 1-6, grades Fail (U) or Pass (G).
SEM1, Seminar, 1.5 credits, written and oral performance concerning learning outcomes 1-6, grades Fail (U) or Pass (G).

A student who has a certificate from MDU regarding a disability has the opportunity to submit a request for supportive measures during written examinations or other forms of examination, in accordance with the Rules and Regulations for Examinations at First-cycle and Second-cycle Level at Mälardalen University (2020/1655). It is the examiner who takes decisions on any supportive measures, based on what kind of certificate is issued, and in that case which measures are to be applied.

Suspicions of attempting to deceive in examinations (cheating) are reported to the Vice-Chancellor, in accordance with the Higher Education Ordinance, and are examined by the University’s Disciplinary Board. If the Disciplinary Board considers the student to be guilty of a disciplinary offence, the Board will take a decision on disciplinary action, which will be a warning or suspension.

Grade

Three-grade scale