计算金融学 -凯发k8网页登录

导入和分析金融数据，为风险控制和经济系统开发模型，管理投资，为复杂的工具定价

您可以使用 matlab^® 提供的计算金融产品来为投资与风险管理、计量经济学、定价与估值、保险以及算法交易开发定量应用程序。只需编写几行代码，您就可以：

绘制历史和实时市场数据图。
分析时间序列数据并创建预测模型。
对利率建模并执行敏感度分析。
优化投资组合并执行风险归因。
开发量化模型，以优化业绩和最小化风险。

适用产品：计算金融学

datafeed toolbox

通过数据服务提供商访问金融数据

database toolbox

interact with relational and nosql databases

econometrics toolbox

model and analyze financial and economic systems using statistical time series methods

financial toolbox

分析金融数据并开发金融模型

financial instruments toolbox

design, price, and hedge complex financial instruments

risk management toolbox

develop risk models and perform risk simulation

spreadsheet link

use matlab from microsoft excel

主题

访问数据库和金融数据交换

connect to database (database toolbox)
after configuring a driver and data source, connect to your database.
communicating with data service providers (datafeed toolbox)
find the connection function for each supported data service provider.

对金融和经济时间序列进行分析和建模

analyze time series data using econometric modeler (econometrics toolbox)
interactively visualize and analyze univariate or multivariate time series data.
represent time series models using econometrics toolbox objects (econometrics toolbox)
learn how to represent time series models as model objects.

优化和回测投资组合

portfolio optimization examples using financial toolbox™ (financial toolbox)
follow a sequence of examples that highlight features of the portfolio (financial toolbox) object.
backtest investment strategies using financial toolbox™ (financial toolbox)
perform backtesting of portfolio strategies using a backtesting framework.
diversify esg portfolios (financial toolbox)
this example shows how to include qualitative factors for environmental, social, and corporate governance (esg) in the portfolio selection process.
create hierarchical risk parity portfolio (financial toolbox)
this example shows how to compute a hierarchical risk parity (hrp) portfolio.

复杂金融工具定价

(financial toolbox)
model the fat-tailed behavior of asset returns and assess the impact of alternative joint distributions on basket option prices.
calibrate shifted sabr model parameters for swaption instrument (financial instruments toolbox)
calibrate model parameters for a swaption (financial instruments toolbox) instrument when you use a sabr pricing method.

量化风险和验证风险模型

risk modeling with risk management toolbox (risk management toolbox)
learn about the tools for modeling seven areas of risk assessment.
bin data to create credit scorecards using binning explorer (risk management toolbox)
create a credit scorecard using the binning explorer app.
credit scoring using logistic regression and decision trees (risk management toolbox)
create and compare two credit scoring models, one based on logistic regression and the other based on decision trees.

将应用程序部署到生产中

(database toolbox)
write a matlab script that connects to a relational database and deploy the script as a standalone database application to other machines.

精选示例

model the united states economy

use a vector error-correction model as a linear alternative to the smets-wouters dsge macroeconomic model.

hedge options using reinforcement learning toolbox™

outperform the traditional bsm approach using an optimal option hedging policy.

backtest strategies using deep learning

construct trading strategies using a deep learning model and then backtest the strategies using the financial toolbox™ backtesting framework. the example uses deep learning toolbox™ to train a predictive model from a set of time series and demonstrates the steps necessary to convert the model output into trading signals. it builds a variety of trading strategies that backtest the signal data over a 5-year period.

incorporate macroeconomic scenario projections in loan portfolio ecl calculations

generate macroeconomic scenarios and perform expected credit loss (ecl) calculations for a portfolio of loans. the workflow in this example shows important computational steps required to estimate provisions for credit losses following regulations such as ifrs 9 (risk management toolbox) or cecl (risk management toolbox). in practice, the determination of loan provisions is a much more involved operational program requiring the collaboration of multiple departments in an institution. the goal of this example is to show useful computational tools that can support this process.