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 EditoreMatlab for Applications in Economics and Finance, Cristina Pocci, Giulia Rotundo, Roeland De Kok, Maggioli EditoreOnline material by the teacher with support of Mathworks online tutorials (https://it.mathworks.com/services/training/online.html).

The course is worth 4 CFU, corresponding to 30 hours of classroom teaching. Overall, approximately 12 hours consist of lecture-based teaching (DE) and 18 hours of interactive teaching (DI), with variable proportions within each lesson.

-Knowledge and understanding: Students will acquire a basic knowledge of the Matlab programming language and of the main packages commonly used in quantitative finance. The understanding objective will be pursued by presenting students with simple problems requiring the ability to select and develop the algorithmic procedures introduced.
-Applying knowledge and understanding: Students will learn to correctly apply the numerical algorithms studied, understanding their functionalities and limitations, and to develop simple programs in Matlab, autonomously choosing the most suitable procedure.
-Making judgements: Students will be able to use the acquired knowledge, both conceptually and operationally, with autonomous evaluation skills.
-Communication skills: Students will acquire the technical language typical of computer programming and will also develop the ability to argue for and justify the implemented solutions.
-Learning skills: Students will learn how to select and apply the appropriate numerical techniques presented during the course.

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

Interactive classes with PC use, integrated when necessary by theoretical notions.

Students with physical disabilities, Learning Disabilities or Special Education Needs can request specific services and tools via the Staff Sviluppo e Coordinamento Carriere e Servizi alle Studentesse e agli Studenti, consulting the University webpage: https://www.uniupo.it/en/services/servicesstudents-physical-or-learning-disabilities Students with disabilities, learning disabilities or special education needs, once they have contacted the University Staff, can refer to the tutor in charge of the course to define the examination modalities, concerning academic aspects.

Pass/fail assessment (no grade). The assessment takes place at a computer. Students are given a set of three exercises to complete in Matlab within one hour: one compulsory exercise designed to test knowledge of the main commands and simple Matlab programs, and two more articulated exercises designed to test understanding of the programming language through the ability to select the most appropriate tool and the ability to implement more complex programs.
A pass is achieved if the compulsory exercise and at least one of the two articulated exercises are completed correctly, i.e. the Matlab code compiles and produces correct numerical results. In addition, students are required to write a brief comment on the procedures used and the results obtained in relation to the Matlab functions employed. This comment is part of the exercise and must be consistent with the Matlab code produced.
Registration for the exam via the student portal is mandatory: once the maximum number of exam participants has been reached, the system will not allow further registrations. A final assessment is scheduled at the end of the lessons for first-year students.

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.