Strategic Asset Allocation in Fixed Income Markets eBook
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Strategic Asset Allocation in Fixed Income Markets

A Matlab based user's guide

Ken Nyholm


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  • Matlab is used within nearly all investment banks and is a requirement in most quant job ads. There is no other book written for finance practitioners that covers this
  • Enables readers to implement financial and econometric models in Matlab
  • All central concepts and theories are illustrated by Matlab implementations which are accompanied by detailed descriptions of the programming steps needed
  • All concepts and techniques are introduced from a basic level
  • Chapter 1 introduces Matlab and matrix algebra, it serves to make the reader familiar with the use and basic capabilities if Matlab. The chapter concludes with a walkthrough of a linear regression model, showing how Matlab can be used to solve an example problem analytically and by the use of optimization and simulation techniques
  • Chapter 2 introduces expected return and risk as central concepts in finance theory using fixed income instruments as examples, the chapter illustrates how risk measures such as standard deviation, Modified duration, VaR, and expected shortfall can be calculated empirically and in closed form
  • Chapter 3 introduces the concept of diversification and illustrates how the efficient investment frontier can be derived - a Matlab is developed that can be used to calculate a given number of portfolios that lie on an efficient frontier, the chapter also introduces the CAPM
  • Chapter 4 introduces econometric tools: principle component analysis is presented and used as a prelude to yield-curve factor models. The Nelson-Siegel model is used to introduce the Kalman-Filter as a way to add time-series dynamics to the evolution of yield curves over time, time series models such as Vector Autoregression and regime-switching are also presented
  • Supported by a website with online resources - www.kennyholm.com where all Matlab programs referred to in the text can be downloaded. The site also contains lecture slides and answers to end of chapter exercises

About the book
Author
Ken  Nyholm
Imprint
Wiley
Collection
The Wiley Finance Series
Publication date
2008-09-15
Pages
192 pages
Print ISBN
9780470753620
Language
English
Ebook informations
EAN PDF
9780470721070
Price
£60.66
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Copy count 0
Print count 192
File size 2427 Ko
Ce livre est accessible aux handicaps   Informations accessibility
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Defaut-Illustration Ken Nyholm

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