Ateneo - UPO

The main objective of the course is to introduce the students to Matlab programming, providing some of the basic IT tools used in quantitative finance. The course will be mainly applicative
with several examples and exercises using Matlab. When necessary, a refresh of some theoretical argument will be made. The course is at the introductory level and will be the basis for further study in the subsequent curriculum courses.

-Computational Finance- MATLAB oriented modeling, Edited by Francesco Cesarone. Giappichelli Editore
-Online material by the teacher with support of Mathworks online tutorials (https://it.mathworks.com/services/training/online.html).

Basic knowledge of the Matlab programming language and some applications for quantitative finance purposes. The objective related to comprehension will be pursued by proposing to the students some simple problems for the solution of which it will be requested the ability to choose autonomously and develop the algorithmic procedures presented in the course.
During the course, students will learn to correctly apply the numerical algorithms
studied, knowing their functionalities and limits and acquiring an autonomous evaluation capacity. They will learn how to write simple Matlab codes. In addition, students will acquire the typical technical language of computer programming and will also develop the ability to comment and justify the implemented solutions.

Linear algebra, basic optimization tools from the courses of Calculus 1 and 2

Classes with PC use, integrated when necessary by theoric notions.

Qualifying examination (no mark). Some exercises will be proposed, a short one and some long ones (the duration of the exam is 1 hour).
The short exercise aims at verifying the knowledge of the basic commands and programming tools. The long ones will test the comprehension of the programming language through the ability of choosing the most suitable procedures and to implement autonomously more articulated programs.
In order to pass the examination it is compelling to solve correctly the short exercise and at least a long one that is, the code must compile without error messages and must do exactly what is requested.
There are 7 exam sessions in each solar year but students can enroll no more than three times, at their own choice. It is mandatory to register for the exam through the students portal: once the three exam participations have been reached, including withdrawals and refusals, the system will not allow further registrations. A final exam reserved to first year students is assessed at the end of the lessons.

1. Introduction to Matlab: variables, Matrices in Matlab: calculus with matrices, inverse, determinant,
solution of linear systems.
2. Graphics in Matlab, for loop and if logical operator,
functions, plots, read data from Excel sheet, write data to Excel sheet.
3. Some basic applications in Finance and Statistics.
4. Introduction to optimization with Matlab.

Ability to implement autonomously by using the presented Matlab packages some simple problems in quantitative finance and statistics.