Foundations of Computational Finance with MATLAB E-Book

Ed McCarthy

• Herausgeber: John Wiley & Sons
• Kategorie: Fachliteratur
• Sprache: Englisch

Seitenzahl: 356

Veröffentlichungsjahr: 2018

Beschreibung

Graduate from Excel to MATLAB¯® to keep up with the evolution of finance data Foundations of Computational Finance with MATLAB¯® 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.

Leseprobe

Table of Contents

Cover

Introduction

Why You Should Read This Book

The Intended Reader

Why MATLAB®?

How to Use This Book

Font Conventions

About the Author

MathWorks Information

References

PART I: MATLAB Conventions and Basic Skills

CHAPTER 1: Working with MATLAB® Data

1.1 Introduction

1.2 Arrays

1.3 Character Arrays

1.4 Flexible Data Structures

References

Further Reading

CHAPTER 2: Working with Dates and Times

2.1 Introduction

2.2 Finance Background: Why Dates and Times Matter

2.3 Dates and Times in MATLAB

References

Notes

CHAPTER 3: Basic Programming with MATLAB®

3.1 Introduction

3.2 MATLAB Scripts and Functions

References

CHAPTER 4: Working with Financial Data

4.1 Introduction

4.2 Accessing Financial Data

4.3 Working with Spreadsheet Data

4.4 Data Visualization

References

PART II: Financial Calculations with MATLAB

CHAPTER 5: The Time Value of Money

5.1 Introduction

5.2 Finance Background

5.3 MATLAB Time Value of Money Functions

5.4 Internal Rate of Return

5.5 Effective Interest Rates

5.6 Compound Annual Growth Rate

5.7 Continuous Interest

5.8 Loans

References

CHAPTER 6: Bonds

6.1 Introduction

6.2 Finance Background

6.3 MATLAB Bond Functions

6.4 Bond Analytics

6.5 Callable Bonds

References

Further Reading

Note

CHAPTER 7: Dealing with Uncertainty and Risk

7.1 Introduction

7.2 Overview of Financial Risk

7.3 Data Insights

7.4 Data Relationships

7.5 Creating a Basic Simulation Model

7.6 Value at Risk (VaR)

References

Further Reading

Notes

CHAPTER 8: Equity Derivatives

8.1 Introduction

8.2 Options

8.3 Option Pricing Models

8.4 Options' Uses

8.5 Appendix: Other Types of Derivatives

References

Further Reading

Note

CHAPTER 9: Portfolios

9.1 Introduction

9.2 Finance Background

9.3 Portfolio Optimization

9.4 MATLAB Portfolio Object

References

CHAPTER 10: Regression and Time Series

10.1 Introduction

10.2 Basic Regression

10.3 Working with Time Series

References

APPENDIX 1: Sharing Your Work

A1.1 Introduction

A1.2 Publishing a Script

References

APPENDIX 2: Reference for Included MATLAB® Functions

Index

End User License Agreement

List of Tables

Chapter 1

Table 1.1 MATLAB Data Terminology

Table 1.2 MATLAB Array Types

Table 1.3 Functions that Create Vectors

Table 1.4 Functions that Generate Random Numbers

Table 1.5 Common Scalar Operations

Table 1.6 Row-column Compatibility

Table 1.7 Correlation Coefficients for Stocks, Bills, and Bonds

Table 1.8 Row and Column Index Reference Values

Table 1.9 Relational Operators

Table 1.10 Logical Operators and Functions

Table 1.11 Stock Data

Chapter 2

Table 2.1 Common Day-Count Methods

Table 2.2 Date and Time Variables

Table 2.3 Common Datetime Identifiers

Table 2.4 Serial Date Conversion Functions

Table 2.5 Calculating Time Between Dates

Table 2.6 Elapsed Time Functions for Different Date Formats

Chapter 4

Table 4.1 Built-in Financial Charts

Chapter 5

Table 5.1 Simple Interest Calculation

Table 5.2 Simple Interest Period Adjustments

Table 5.3 Compound Interest

Table 5.4 Compound Interest Formula Derivation

Table 5.5 Future Value of Unequal Cash Flows

Table 5.6 Future Value of Equal Cash Flows

Table 5.7 Present Value Formulas

Table 5.8 Year-End Investment Values

Chapter 6

Table 6.1 Bond Classifications

Table 6.2 Bond Terms

Table 6.3 Bond Usage Abbreviations

Table 6.4 Bndprice Function Arguments

Table 6.5 Percentage Change in Price with Interest Rate Changes

Table 6.6 US Treasury Rates

Chapter 7

Table 7.1 Covariance Table Interpretation

Table 7.2 Correlation Table Interpretation

Chapter 8

Table 8.1 Fundamental Option Terms

Table 8.2 Intrinsic Value Versus Option Price

Table 8.3 Replicated Portfolio Terminal Value

Table 8.4 Binprice Function

Table 8.5 The Greeks

Table 8.6 The Greeks' Syntax

Table 8.7 Comparative Profits

Table 8.8 Option Spreads

Table 8.9 MATLAB Supported Exotic Options

Chapter 9

Table 9.1 Unconstrained Portfolio Weights

Table 9.2 Constrained Portfolio Weights

Table 9.3 Optimal Unconstrained Allocations for Target Returns

List of Illustrations

Chapter 1

Figure 1.1 Variables Listed in Workspace Window

Figure 1.2 Data Import Options

Figure 1.3 10-Year Treasury Yields 1998–2017

Figure 1.4 Plotting with Missing Data

Figure 1.5 Filling Missing Data With Estimated Value

Figure 1.6 Variable Data Editor

Figure 1.7 Reviewing Data Cells

Figure 1.8 Structure Data Fields

Figure 1.9 CSV Data Format

Figure 1.10 Microsoft Excel File Format

Figure 1.11 Import Data Tool

Figure 1.12 Imported Data

Figure 1.13 Data Import Options

Chapter 2

Figure 2.1 Import Tool

Figure 2.2 Import Date Formats

Figure 2.3 Custom Date Format Field

Figure 2.4 Dates Converted to Datetime Format

Figure 2.5 Imported Table

Figure 2.6 Date Conversion in Microsoft Excel

Figure 2.7 x2mdate Excel to MATLAB Conversion

Figure 2.8 Microsoft Excel Dates in MATLAB

Figure 2.9 Plotting with Datetime Variables

Chapter 3

Figure 3.1 Editor Toolbar

Figure 3.2 Future Value Script

Figure 3.3 Set Path Dialog Box

Figure 3.4 Function Template

Figure 3.5 futureValueCalc Function

Figure 3.6 futureValueCalc Help Screen

Figure 3.7 Input Prompt

Figure 3.8 Input Request

Figure 3.9 Warning Dialog Box

Figure 3.10 Error Dialog Box

Figure 3.11 Input Problem Box

Figure 3.12 Potential Error Highlights

Figure 3.13 Possible Error Correction

Figure 3.14 Code Improvement Suggestion

Chapter 4

Figure 4.1 Google Finance Download

Figure 4.2 Yahoo! Finance Download

Figure 4.3 10-Year Bond Rate

Figure 4.4 Data Import Tool

Figure 4.5 Import Tool Data Display

Figure 4.6 Importing Datetime Variables

Figure 4.7 Specifying Data Types

Figure 4.8 Importing Selected Variables

Figure 4.9 Full Import Tab

Figure 4.10 Data Import to Table

Figure 4.11 Variables Window Data View

Figure 4.12 Imported FRED Data

Figure 4.13 Import Selection Options

Figure 4.14 Data Import Problem

Figure 4.15 Corrected Data Import

Figure 4.16 Importing Data to Column Vectors

Figure 4.17 Data Imported as Column Vectors

Figure 4.18 Attempted Import as Matrix

Figure 4.19 Date Data Fails to Import

Figure 4.20 Downloaded FRED Data

Figure 4.21 Spreadsheet Data Import

Figure 4.22 Selected Workspace Variables

Figure 4.23 Plots Tab

Figure 4.24 Apple Close Price

Figure 4.25 AAPL and IBM Plot

Figure 4.26 Show Plot Tools Icon

Figure 4.27 Plot Property Editor Dialogue Box

Figure 4.28 AAPL and IBM Prices

Figure 4.29 Dates Displayed as Serial Dates

Figure 4.30 Dates with DatetimeTickFormat Argument

Figure 4.31 Series Comparison with a Single

y

-axis

Figure 4.32 Data Plot with Double

y

-axes

Figure 4.33 Single Data Series in Single Figure

Figure 4.34 2 × 1 Array of Blank Plots

Figure 4.35 Two Data Series in Two Plots

Figure 4.36 Property Editor Display Name

Figure 4.37 Insert Legend Icon

Figure 4.38 Legend Locator

Figure 4.39 Adding Text to Plot

Figure 4.40 Surface Plot

Figure 4.41 Hi-Lo-Close Plot for AAPL

Figure 4.42 Candlestick Plot for AAPL

Chapter 6

Figure 6.1 Normal Yield Curve

Chapter 7

Figure 7.1 Historical Asset Returns Excel Worksheet

Figure 7.2 MATLAB Import Screen

Figure 7.3 MATLAB Workspace after Data Import

Figure 7.4 Annualized S&P 500 Returns

Figure 7.5 Treasury Bills vs. Treasury Bonds, 1928 to 2016

Figure 7.6 Histogram of S&P 500 Annual Returns

Figure 7.7 Histogram of S&P 500 Annual Returns (12 Bins)

Figure 7.8 Histogram of Treasury Bond Annual Returns (12 Bins)

Figure 7.9 Histfit of Normal(5,1) Distribution

Figure 7.10 HIsfit of Normal(5,1) Distribution with 10,000 Points

Figure 7.11 S&P 500 Returns Versus Normal Distribution

Figure 7.12 T-bond Returns Versus Normal Distribution

Figure 7.13 Probplot with Normal(5,1) Random Data

Figure 7.14 Probplot for S&P 500 Data

Figure 7.15 AMZN Daily Close Price 2015–2016

Figure 7.16 Simulated 10-Day Amazon Price Paths

Figure 7.17 Simulated Returns for Normal (12,20) Distribution

Figure 7.18 Simulated Returns with VaR Levels

Chapter 8

Figure 8.1 CBOE Price Data for AAPL

Chapter 9

Figure 9.1 Three-asset Class Efficient Frontier

Figure 9.2 Imported Stock Data

Figure 9.3 Returns Data

Figure 9.4 Portfolio Object Efficient Frontier

Figure 9.5 Optimal Portfolio

Chapter 10

Figure 10.1 Scatterplot of Consumer Confidence Versus Durable Goods Orders

Figure 10.2 Scatterplot of Consumer Confidence Versus Durable Goods Orders with Line

Figure 10.3 Fitting a Straight Line to a Curve

Figure 10.4 Fitted Curve Comparisons

Figure 10.5 Fitting a Line with polyfit

Figure 10.6 Plot Function Output

Figure 10.7 Histogram of Model Residuals

Figure 10.8 FTS Icon in the Apps Menu

Figure 10.9 FTS Dialog Box with Data Loaded

Figure 10.10 Access the FTSGUI Tools

Figure 10.11 FTS Data Tools

Figure 10.12 FTS Technical Analysis Tools

Figure 10.13 FTS Graphs Tools

Figure 10.14 File Load for FTSGUI

Figure 10.15 Basic AMZN Close Price Line Plot with Volume

APPENDIX 1

Figure A1.1 Publishing Tool Strip

Figure A1.2 Publish Options

Figure A1.3 Edit Configurations Dialog Box

Figure A1.4 Output File Format Options

Figure A1.5 HTML Output Format

Figure A1.6 Creating a Live Script

Figure A1.7 Live Editor Tool Strip

Figure A1.8 Live Script Inputs

Figure A1.9 Live Script Options

Figure A1.10 Live Script Two-Column Format

Figure A1.11 Live Script Figure Output

Figure A1.12 Equation Menu

Figure A1.13 Live Script Inserted Equation

Guide

Cover

Table of Contents

Begin Reading

Pages

C1

iii

iv

v

xiii

xiv

xv

xvi

xvii

xviii

1

3

4

5

6

7

8

9

10

11

12

13

14

15

16

17

18

19

20

21

22

23

24

25

26

27

28

29

30

31

32

33

34

35

36

37

38

39

40

41

42

43

44

45

46

47

48

49

50

51

52

53

54

55

56

57

58

59

60

61

62

63

64

65

66

67

68

69

70

71

72

73

74

75

76

77

78

79

80

81

82

83

84

85

86

87

88

89

90

91

92

93

94

95

97

98

99

100

101

102

103

104

105

106

107

108

109

110

111

112

113

114

115

116

117

118

119

120

121

122

123

124

125

126

127

129

130

131

132

133

134

135

136

137

138

139

140

141

142

143

144

145

146

147

148

149

150

151

152

153

154

155

156

157

158

159

160

161

162

163

164

165

166

167

168

169

170

171

172

173

174

175

176

177

179

180

181

182

183

184

185

186

187

188

189

190

191

192

193

194

195

196

197

198

199

200

201

202

203

204

205

206

207

208

209

210

211

212

213

214

215

216

217

218

219

220

221

222

223

224

225

226

227

228

229

230

231

233

234

235

236

237

238

239

240

241

242

243

244

245

246

247

248

249

250

251

252

253

254

255

256

257

258

259

260

261

262

263

264

265

266

267

268

269

270

271

272

273

274

275

276

277

278

279

280

281

283

284

285

286

287

288

289

290

291

292

293

294

295

296

297

298

299

300

301

302

303

304

305

306

307

308

309

310

311

312

313

314

315

316

317

318

319

320

321

322

323

324

325

326

327

328

329

330

331

332

333

335

336

337

338

339

340

341

342

343

344

345

346

347

E1

Foundations of Computational Finance with MATLAB®

Ed McCarthy

Copyright © 2018 by John Wiley & Sons, Inc. All rights reserved.

Published by John Wiley & Sons, Inc., Hoboken, New Jersey.

Published simultaneously in Canada.

No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, (978) 750–8400, fax [phone], or on the Web at www.copyright.com. Requests to the Publisher for permission should be addressed to the Permissions Department, John Wiley & Sons, Inc., 111 River Street, Hoboken, NJ 07030, (201) 748–6011, fax [phone], or online at www.wiley.com/go/permissions.

Limit of Liability/Disclaimer of Warranty

MATLAB® is a trademark of The MathWorks, Inc. and is used with permission. The MathWorks does not warrant the accuracy of the text or exercises in this book. This work's use or discussion of MATLAB® software or related products does not constitute endorsement or sponsorship by The MathWorks of a particular pedagogical approach or particular use of the MATLAB® software. While the publisher and authors have used their best efforts in preparing this work, they make no representations or warranties with respect to the accuracy or completeness of the contents of this work and specifically disclaim all warranties, including without limitation any implied warranties of merchantability or fitness for a particular purpose. No warranty may be created or extended by sales representatives, written sales materials or promotional statements for this work. The fact that an organization, website, or product is referred to in this work as a citation and/or potential source of further information does not mean that the publisher and authors endorse the information or services the organization, website, or product may provide or recommendations it may make. This work is sold with the understanding that the publisher is not engaged in rendering professional services. The advice and strategies contained herein may not be suitable for your situation. You should consult with a specialist where appropriate. Further, readers should be aware that websites listed in this work may have changed or disappeared between when this work was written and when it is read. Neither the publisher nor authors shall be liable for any loss of profit or any other commercial damages, including but not limited to special, incidental, consequential, or other damages.

For general information on our other products and services or for technical support, please contact our Customer Care Department within the United States at (800) 762–2974, outside the United States at (317) 572–3993, or fax [phone].

Wiley publishes in a variety of print and electronic formats and by print-on-demand. Some material included with standard print versions of this book may not be included in e-books or in print-on-demand. If this book refers to media such as a CD or DVD that is not included in the version you purchased, you may download this material at http://booksupport.wiley.com. For more information about Wiley products, visit www.wiley.com.

Library of Congress Cataloging-in-Publication Data

Names: McCarthy, Ed (Edward), 1955– author.

Title: Foundations of computational finance with MATLAB / by Ed McCarthy.

Description: Hoboken, New Jersey : John Wiley & Sons, Inc., [2018] | Includes index. |

Identifiers: LCCN 2018014808 (print) | LCCN 2018016054 (ebook) | ISBN 9781119433873 (epub) | ISBN 9781119433910 (pdf) | ISBN 9781119433859 (cloth)

Subjects: LCSH: Finance—Mathematical models. | Finance—Data processing.

Classification: LCC HG106 (ebook) | LCC HG106 .M396 2018 (print) | DDC 332.0285/53—dc23

LC record available at https://lccn.loc.gov/2018014808

Cover Design: Wiley

Cover Image: © monsitj/iStockphoto

To my wife, Diane

PART IMATLAB Conventions and Basic Skills