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Foundations of Computational Finance with MATLAB

Foundations of Computational Finance with MATLAB

Wydawnictwo John Wiley & Sons
Data wydania 01/05/2018
Wydanie Pierwsze
Liczba stron 368
Forma publikacji książka w twardej oprawie
Poziom zaawansowania Dla profesjonalistów, specjalistów i badaczy naukowych
Język angielski
ISBN 9781119433859
Kategorie Finanse, Teoria matematyczna komputeryzacji
142.84 PLN (z VAT)
$36.73 / €32.86 / £30.44 /
Produkt na zamówienie
Przesyłka w 3-4 tygodnie
Do schowka

Opis książki

Graduate from Excel to MATLAB(R) to keep up with the evolution of finance data Foundations of Computational Finance with MATLAB(R) is an introductory text for both finance professionals looking to branch out from the spreadsheet, and for programmers who wish to learn more about finance. As financial data grows in volume and complexity, its very nature has changed to the extent that traditional financial calculators and spreadsheet programs are simply no longer enough. Today's analysts need more powerful data solutions with more customization and visualization capabilities, and MATLAB provides all of this and more in an easy-to-learn skillset. This book walks you through the basics, and then shows you how to stretch your new skills to create customized solutions. Part I demonstrates MATLAB's capabilities as they apply to traditional finance concepts, and PART II shows you how to create interactive and reusable code, link with external data sources, communicate graphically, and more. Master MATLAB's basic operations including matrices, arrays, and flexible data structures Learn how to build your own customized solutions when the built-ins just won't do Learn how to handle financial data and industry-specific variables including risk and uncertainty Adopt more accurate modeling practices for portfolios, options, time series, and more MATLAB is an integrated development environment that includes everything you need in one well-designed user interface. Available Toolboxes provide tested algorithms that save you hours of code, and the skills you learn using MATLAB make it easier to learn additional languages if you choose to do so. Financial firms are catching up to universities in MATLAB usage, so this is skill set that will follow you throughout your career. When you're ready to step into the new age of finance, Foundations of Computational Finance with MATLAB provides the expert instruction you need to get started quickly.

Foundations of Computational Finance with MATLAB

Spis treści

Introduction xiii

Why You Should Read This Book xiii

The Intended Reader xiv

Why MATLAB (R)? xiv

How to Use This Book xvi

Font Conventions xvi

About the Author xvii

MathWorks Information xviii

References xviii

Part I MATLAB Conventions and Basic Skills 1

Chapter 1 Working with MATLAB (R) Data 3

1.1 Introduction 3

1.2 Arrays 3

1.2.1 Numerical Arrays 4

1.2.2 Math Calculations with Scalars,Vectors, and Matrices 10

1.2.3 Statistical Calculations on Vectors and Matrices 16

1.2.4 Extracting Values from Numerical Vectors and Matrices 19

1.2.5 Counting Elements 26

1.2.6 Sorting Vectors and Matrices 28

1.2.7 Relational Expressions and Logical Arrays 31

1.2.8 Dealing with NaNs (Not a Number) 35

1.2.9 Dealing with Missing Data 39

1.3 Character Arrays 40

1.3.1 String Arrays 44

1.4 Flexible Data Structures 46

1.4.1 Cell Arrays 47

1.4.2 Structure ("struct") Arrays 49

1.4.3 Tables 51

References 60

Further Reading 60

Chapter 2 Working with Dates and Times 61

2.1 Introduction 61

2.2 Finance Background: Why Dates and Times Matter 61

2.2.1 First Challenge: Day Count Conventions 62

2.2.2 Second Challenge: Date Formats 63

2.3 Dates and Times in MATLAB 64

2.3.1 Datetime Variables 64

2.3.2 Date Conversions 73

2.3.3 Date Generation Functions with Serial Number Outputs 79

2.3.4 Duration Arrays 83

2.3.5 Calendar Duration Variables 86

2.3.6 Date Calculations and Operations 89

2.3.7 Plotting Date Variables Introduction 94

References 95

Chapter 3 Basic Programming with MATLAB (R) 97

3.1 Introduction 97

3.1.1 Algorithms 101 97

3.1.2 Go DIY or Use Built-In Code? 98

3.2 MATLAB Scripts and Functions 99

3.2.1 Scripts 99

3.2.2 Developing Functions 106

3.2.3 If Statements 112

3.2.4 Modular Programming 115

3.2.5 User Message Formats 121

3.2.6 Testing and Debugging 124

References 127

Chapter 4 Working with Financial Data 129

4.1 Introduction 129

4.2 Accessing Financial Data 129

4.2.1 Closing Prices versus Adjusted Close Prices for Stocks 130

4.2.2 Data Download Examples 131

4.2.3 Importing Data Interactively 133

4.2.4 Automating Data Imports with a Script 138

4.2.5 Automating Data Imports with a Function 140

4.2.6 Importing Data Programmatically 147

4.3 Working with Spreadsheet Data 154

4.3.1 Importing Spreadsheet Data with Import Tool 154

4.3.2 Importing Spreadsheet Data Programmatically 154

4.4 Data Visualization 156

4.4.1 Built-In Plot Functions 156

4.4.2 Using the Plot Tools 158

4.4.3 Plotting with Commands

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