University of Rome Tor Vergata Graduate Students Acquire Marketable Programming and Asset Pricing Skills

Herzel had several teaching goals for his courses. For Coding for Financial Applications, he wanted to spend more classroom time helping students work through problems and less time on lectures covering the basics. For Asset Pricing, he wanted students to gain a deeper understanding of economic and financial theory by writing code to implement and visualize the concepts they learned.

Among Herzel’s main objectives were to equip students with the quantitative skills sought by prospective employers and provide students with an opportunity to earn a certification to demonstrate their MATLAB proficiency.

Herzel took advantage of a Campus-Wide License for MATLAB at Tor Vergata to develop content and teach courses for the university’s Master of Science in Finance and Banking program.

Students take Coding for Financial Applications in their first year. They learn how to work with vectors, matrices, and tabular data in MATLAB, as well as how to write functions, handle missing data, and fit models to empirical data.

Before each weekly class session, the students complete tutorials from MATLAB for Financial Applications, an online training course available through the university’s Campus-Wide License. The license enables students to work on their MATLAB assignments on their own laptops anywhere on campus, reducing demand for scarce computer lab time.

Herzel begins each class session by reviewing the material covered in the self-paced online training. He then leads a discussion of the key concepts covered that week. Typically, the students take a quiz and then share their solutions to the quiz problems in MATLAB. Herzel ends the class by introducing the concepts to be covered the following week.

Students in the second-year course Asset Pricing use the MATLAB skills they’ve acquired to complete assignments on various mathematical instruments used in pricing, such as stochastic differential equations, as well as assignments on asset pricing theory, including pricing by arbitrage using the Black-Scholes model or delta hedging.

Assignments include calibrating models via nonlinear least squares optimization, simulating stochastic processes and running Monte Carlo simulations to price derivatives and check the theoretical results of the models.

After completing their coursework, students are given the opportunity to earn the Certified MATLAB Associate credential. Herzel himself was the first professor in Italy to receive MATLAB certification. More than 30 of his students have so far passed the test and become certified.

Tor Vergata faculty are integrating MATLAB into other courses in the Finance and Banking program curriculum, including a course on portfolio management in which students use MATLAB and Optimization Toolbox™ to perform portfolio optimization based on modern portfolio theory.

• Classroom time optimized. “We were already happy with the Campus-Wide License because of the access it provided to MATLAB and the many toolboxes that we use in our program,” says Herzel. “When we discovered that the license also includes a wealth of exceptionally useful online courses, we were even happier, because it meant we could focus classroom time on core material instead of coding basics.”
• Complex concepts learned through visualization. “Stochastic calculus can be confusing, and few students are convinced of its value by a mathematical proof alone,” notes Herzel. “Once they see how it works graphically in MATLAB, however, they are less skeptical, and prepared to apply Black-Scholes and other models that rely on stochastic differential equations.”
• Students graduated with in-demand skills. “One of the strengths of our program is the employment rate of our graduates,” says Herzel. “I often hear from employers how valuable it is for graduates to know how to program, and in our case, to program in MATLAB. MATLAB certification is an additional advantage that dozens of our students achieved last year, and we expect to have as many or more certifications this year.”