Matlab在《数理金融》课程教学中的应用

The Application of MATLAB in the Teaching of Mathematical Finance

摘要: 数理金融，是金融数学专业本科生的一门专业核心课程，债券的久期与凸度的计算是该课程的重点和难点。但日常教学过程中，重点的是讲解理论，具体计算涉及较少，编程计算就更少讲授了，导致大多数学生理论强，动手计算能力差。本文以用Matlab软件计算债券的久期与凸度为例，传授学生编程解决计算问题的技能，提高学生的学习兴趣，切实提高学生的编程解决问题的能力。

Abstract: Mathematical finance is a major core course for undergraduate students in financial mathematics. The calculation of bond duration and convexity is the key and difficult point of the course. But in the daily teaching process, the emphasis is on explaining the theory. The specific calculation involves less, and programming calculation is less taught, which leads to the strong theory and poor ability of hands-on calculation. This paper takes MATLAB software to calculate the duration and convexity of bonds as an example, teaching students the skills of programming to solve computing problems, improving students’ interest in learning and improving students’ ability of programming to solve problems.