Course syllabus - Analytical Finance with MATLAB 7.5 credits

Analytisk finans med MATLAB

Course code: MAA312
Valid from: Autumn semester13
Level of education: First cycle
Subject: Mathematics
Main Field(s) of Study: Mathematics/Applied Mathematics,
In-Depth Level: G2F (First cycle, has at least 60 credits in first-cycle course/s as entry requirements),
School: UKK
Ratification date: 2013-02-01

Objectives

The objective of the course is to give technical skills in using MATLAB for solving typical applied problems of financial engineering.

Learning outcomes

At the end of the course the student is expected to be able to
- create graphical user interfaces in MATLAB.
- use MATLAB financial toolbox to chart financial data, analyse and compute cash flows, including rates of return and depreciation streams.
- use MATLAB financial time series toolbox to create financial time series objects, manipulate and analyse financial time series data.
- use MATLAB financial derivatives toolbox to compute price and sensitivities of interest rate dependent securities based upon the interest rate term structure, the HJM model of forward rates, and the BDT interest rate model.

Course content

Introduction to MATLAB language. Graphics in MATLAB. Graphical user interfaces. Charting financial data. Analysing and computing cash flows. Pricing and computing yields for fixed-income securities. Computing treasury bill price and yield. Term structure calculations. Convertible bond valuation. Computing prices and sensitivities of interest rate dependent securities using the interest rate term structure and interest rate models.

Teaching methods

Lectures, folder sessions and seminars.

Specific entry requirements

At least 60 credits totally from these areas: technical, natural sciences, business administration or economics where Introduction to Financial Mathematics 7,5 credits and Numerical Methods with MATLAB 7,5 credits or equivalent are included and a TOEFL test result, minimum score 173 (CBT), 500 (PBT) or 61 (iBT) or an IELTS test result with an overall band score of minimum 5,0 and no band score below 4,5. Exemption from the requirements of Swedish language proficiency will be made.

Examination

Project (PRO1), 5 credits, marks Pass (G) or Pass with distinction (VG)
Seminar (SEM1), 2.5 credits, marks Pass (G) or Pass with distinction (VG)

A student who has a certificate from MDH 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 (2016/0601). 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.

Rules and regulations for examinations

Marks

Three-grade scale

Enviromental aspects

This course does not include any specific environmental considerations.

Course literature is preliminary until 3 weeks before the course starts. Literature may be valid over several terms.

Valid from: Autumn semester13

Decision date: 2013-07-18

Last update: 2013-07-31