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Course syllabus - Analytical Finance with MATLAB

Scope

7.5 credits

Course code

MAA321

Valid from

Autumn semester 2026

Education level

First cycle

Progressive Specialisation

G2F (First cycle, has at least 60 credits in first-cycle course/s as entry requirements)

Main area(s)

Mathematics/Applied Mathematics

Organisation

Department of Business and Mathematics

Ratified

2019-12-09

Revised

2025-11-03

Literature lists

Course literature is preliminary up to 8 weeks before course start. Course literature can be valid over several semesters.

    • Ratified date: 2022-06-28
    • Latest update: 2025-05-27

    Books

    Hull, John

    Options, futures, and other derivatives

    9th ed. would also work fine.

    ISBN: 978-0-273-75907-2 (pbk)

    LIBRIS-ID: 12308484

    8. ed., Global ed., Boston, Pearson, xxi, 847 s.

    Reference Literature

    Wackerly, Dennis D.; Mendenhall, William; Scheaffer, Richard L.

    Mathematical statistics with applications

    Any other reference statistics book would work fine as well.

    ISBN: 9780495385080

    LIBRIS-ID: 10617209

    7. ed., Southbank, Thomson Learning, xxii, 912 s.

    Other Materials

    Additional preparation instructions and lecture notes will be used in the course.

Objectives

The objective of the course is to give the student the opportunity to acquire advanced knowledge in solving problems in financial engineering using MATLAB.

Learning outcomes

Upon completion of the course, the student is expected to be able to

  1. create user interfaces in MATLAB
  2. chart, analyze and compute cash flows of given financial data, including rates of return and volatility
  3. create financial time series objects and manipulate and analyze financial time series data
  4. do the basics of portfolio analysis
  5. evaluate the price of equity derivatives and interest-rate based derivatives
  6. create MATLAB programs that perform basic financial tasks

Course content

  • Introduction to MATLAB and relevant packages for statistical and financial applications
  • Designing and creating User Interfaces (UIs)
  • Introduction to data analysis
  • Analysis of historical data (prices)
  • Properties of asset prices
  • Analysis of financial time series
  • Basics of portfolio analysis
  • Analysis of cash flows and fixed-income market
  • Equity market and security derivatives
  • Forward rates and interest rate derivatives

Specific requirements

At least totally 60 credits in the engineering, natural sciences, business administration or economics areas including Introduction to Financial Mathematics, 7.5 credits, out of which 4.5 credits must be completed at the beginning of the course, Numerical Methods with MATLAB, 7.5 credits, out of which 2.5 credits must be completed at the beginning of the course, and Probability, 7.5 credits, out of which 3 credits must be completed at the beginning of the course, or equivalent.

Examination

PRO1, Project report, 4.5 credits, written reports concerning learning outcomes 1-6, grades Fail (U), Pass (G) or Pass with distinction (VG).
LAB1, Laboratory work, 1.5 credits, laboratory works and oral performance concerning learning outcomes 1-6, grades Fail (U) or Pass (G).
SEM1, Seminar, 1.5 credits, written and oral performance concerning learning outcomes 1-6, grades Fail (U) or Pass (G).

A student who has a certificate from MDU regarding disability study support, can request adaptions for the examination. It is the examiner who takes decisions on any adaptions, based on the certificate and other conditions.

Grade

Three-grade scale