Matlab - An Introduction For Financial Applications

The course gives an overview of the matlab system with a view towards financial engineering. As a beginners course we start by giving an introduction to the basic functionality like plotting, handling of matrices, using m-files and running scripts. All examples are based on financial problems. Thus, we aim to implement the black-scholes pricing formula, calculate Greeks. Furthermore, we consider writing programs. To this end we develop basic programming skills and show how to transform algorithms to working matlab code and how to arrange the code. We wish to use the binomial model as an example. Finally, we cover useful functionality for everyday life such as interpolation, integration or special functions.