Financial Engineering in Matlab: Selected Approaches and Algorithms

Summary

Ongoing integration and globalization of financial markets, growing importance of the algorithmic trading, the emergence of new, mostly exotic, financial derivatives and many other recent trends are increasing the importance of financial engineering. The publication is focused on the essential part of financial engineering – modelling of financial time series and its application in portfolio and risk management. The emphasis is on the explanation of selected approaches and models. At the same time the book, apart from a theoretical background, also presents examples of practical application i.e. functioning codes written in Matlab.

The book is structured into five chapters. In the first chapter we describe the possibilities of data acquisitions and imports. In the second chapter we present the methods and models applicable for the financial time series modelling. The chapters three and four are focused on modern portfolio theory. The last chapter covers the area of market risk estimation and its backtesting procedure.

The publication is intended for both undergraduate and postgraduate students of finance as well as computer science. It was written with the support of the European Social Fund under the Opportunity for young researchers project (CZ.1.07/2.3.00/30.0016) as well as GA ČR (Czech Science Foundation – Grantová Agentura České Republiky) under the project no. 13-18300P. The support is greatly acknowledged and appreciated.

Publisher

VŠB-TU Ostrava

If you want to obtain the book, please contact Ing. Irena Holbová (irena.holbova@vsb.cz) for further information.

Citation

The text should be cited as follows: Kresta, A. (2015). Financial Engineering in Matlab: Selected Approaches and Algorithms, SAEI, vol. 33. Ostrava: VSB-TU Ostrava. ISBN 978-80-248-3702-4.

Errata

The errors and their corrections are listed in the file attached below.

Algorithms

The algorithms presented in the book are obtainable below.