MATLAB Texts

[foquant]

I've noticed in a couple of threads related to books that C++ is heavily used by forum members. Outside of that, does anyone have any recommendations for MATLAB/finance texts?

I've been looking at:
Numerical Methods in Finance and Economics: A MATLAB based introduction
and
Modeling Derivatives Applications in Matlab, C++, and Excel (I think there was a thread on this book)

Any opinions on these or other texts that handle finance with Matlab? My interest is based in two areas: (1)pricing/valuation and (2)algorithmic trading

Thanks

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[Andy Nguyen]

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Feedback about London's books are mixed. I read very negative comments about his C++ book.
If you have to use Matlab, then it has a financial package that covers many pricing models. I used it before and it was decent. We did many option pricing model in C+ and our numbers are not always slightly off those from Matlab. I think the data types in C++ and Matlab are not identical.

By the way, why do you have to use Matlab ?

 

[foquant]

Thanks for the note, Andy.

I was leaning towards Brandimarte's book, and then using more focused books for vba (which I have) and c++ (Joshi in particular, as well as Duffy).

No real need to use matlab - more along the lines of something new to learn (like your new year's resolution, right? :tiphat.

I also understand it is somewhat common - after c++ and c#. The graphic capabilities are very nice, and developing GUIs is quite simple... although .net may make that easier - I don't know too much about .net.

Also, from more experienced folks, I've heard its much easier/faster to develop quick tools using MATLAB... where c++ may better be reserved for larger, more complete programs. Possibly even easier for API use.

I've lived in excel far too long, just started into c++ about a year ago. I figure I'd pick up matlab right around now to try to build up a three pronged "arsenal." :D

 

[Vic_Siqiao]

Modeling Derivatives Applications in C++, bad book on code part, but good on math i think.

 

[Andy Nguyen]

Hahahhaha.... I really like how my New Year resolution going. Learn ton of new stuff since the beginning of 2008.
Matlab is a very good language to do quick protocol. It has Excellink that you can install as an Excel addin and call matlab function from inside Excel.
If you can afford the price tag of Matlab and its financial package, go for it.

Matlab GUI is primitive, just like user form you have in VBA/Excel. 3D graph in Matlab is much better than the chart in Excel. Interface with large dataset is weak in my opinion. If you plan to do any real time then .NET is much better choice.

I'm developing something in C# with 3rd party chart. I'll post a screenshot tomorrow

 

[foquant]

Thanks Vic, that is kind of what I've picked up from some reviews, etc. Glad it could be confirmed.

 

[bigbadwolf]

Brandimarte book

The first book (by Brandimarte) is a excellently written and I've used it quite a bit myself. Another good one that's about to hit the market is Fusai and Roncoroni's "Implementing Models in Quantitative Finance (Springer).

 

[Bastian Gross]

Numerical Finance with Matlab

Hello foquant,

I've read a german Matlab-book written by Michael Günther and Ansgar Jüngel (Finanzderivate mit MATLAB).
But for you I would recommend this books:


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[foquant]

Thanks Bastian,
I'm wrapping up three other books right now and suspect that I'll dig into Brandimarte after that - always good to hear a positive review from someone who knows.

 

[Bastian Gross]

In addition to Brandimarte and Fries, I've readed on book by Ottmar Beucher:
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English book (with Simulink):
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