INSY%20434-001%20LAB%201_Financial_Tools_Data_Bases%20WINTER%202010

INSY 434-001 LAB - analysis extracting implied volatility using Black-Scholes model etc Cons WHAT TO LEARN Basics Variable creation declaration

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INSY 434-001 Introduction: Computational Tools and  Financial D/Bs Lab instructor: Yong Lee Lab 1
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COMPUTATION TOOLS Languages C, C++, Java, Fortran, VBA and etc Packages MATLAB, STATA, SAS, R, S-PLUS and etc Other easier tools EXCEL (with VBA) or other statistical tools
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FINANCIAL DATABASES McGill’s available D/Bs CRSP, Compustat, OptionMetrics, RiskMetrics, TAQ, Datastream, Bloomberg(only through its terminal), and etc Other data providers .. : credit rating agencies Markit: specialized in CDS and other credit
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ABOUT MATLAB? Pros Most popular and standard tool in financial industry and engineering and science Cost- and time-efficient to learn, much easier than C or C++ Powerful for matrix, optimization (similar to Excel Solver) and numerical analysis (e.g.) Discrete solving continuous Partial Differential Equations, numerical
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Unformatted text preview: analysis, extracting implied volatility using Black-Scholes model, etc. Cons WHAT TO LEARN Basics Variable creation, declaration, assigning values to variables, random number generation and other pre-requisite skills required for simulation Vectors and matrixes Looping skills: ‘if’, ‘for’, ‘while’, and other looping skills Use vectors wherever possible. More cost- and time-efficient LET’S HIT THE WALL . ....... Data running procedure 1) Explore databases (e.g., CRSP, Compustat, Option metrics, Yahoo-finance, US-Treasury (Prof. French’s site or Treasury)) 2) Downloading time-series and/or cross-sectional data from the above D/Bs 3) Cleanse and process (e.g., with Access, Text Pad, STATA, SAS or any other packages comfortable for you) in order to kill or correct raw data which is either missing or wrong...
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This note was uploaded on 03/23/2010 for the course INSY INSY434 taught by Professor Oh during the Winter '10 term at McGill.

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INSY 434-001 LAB - analysis extracting implied volatility using Black-Scholes model etc Cons WHAT TO LEARN Basics Variable creation declaration

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