The seminar covers matrix operations, special types of matrices and the laws of matrix algebra, the Cholesky decomposition of a matrix, and eigenvalues and eigenvectors. Examples of financial applications include: manipulating covariance matrices; calculating the variance of the returns to a portfolio of assets; hedging a vanilla option position; and simulating correlated sets of returns.

 

At the end of Intrinsic Value's training seminar in linear mathematics and matrix algebra the participant should be able to:

􀂅  Demonstrate basic operations of Matrix Algebra.

􀂅  Solve two Linear Simultaneous Equations using Matrix Algebra.

􀂅  Demonstrate Portfolio Construction.

􀂅  Demonstrate Hedging of a Vanilla Option Position.

􀂅  Describe Quadratic Forms.

􀂅  Discuss the Variance of Portfolio Returns as a Quadratic Form.

􀂅  Define Positive Definiteness.

􀂅  Demonstrate Cholesky Decomposition.

􀂅  Demonstrate Eigenvalues and Eigenvectors.

􀂅  Demonstrate Principal Components.