Strategic Asset Allocation in Fixed Income Markets: A Matlab based user's guide

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9780470753620: Strategic Asset Allocation in Fixed Income Markets: A Matlab based user's guide

  • 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

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

From the Inside Flap:

“An extremely useful book for anyone interested in actually applying MATLAB based computational techniques to fixed-income problems. Theoretically sound and practically useful: a rare combination. I decided to buy MATLAB after reading it.”

Dr Riccardo Rebonato, Global Head of Market Risk and Quant Analytics, RBS.

“This book is a wonderfully practical 'how to' guide for bond market empirics implemented in MATLAB, with particular strength in dynamic yield curve models. It will interest students and practitioners alike.”

Francis X. Diebold,Joseph M.Cohen Professor of Economics, Finance and Statistics, and Co-Director of the Wharton Financial Institutions Center, University of Pennsylvania.

“This book offers a unique opportunity for mathematically savvy readers with little prior exposure to finance to "hit the ground running" in fixed income modeling. It provides a broad but thorough introduction to fixed-income finance, from basic elements like price-yield conversions to more complex topics such as term structure modeling and strategic asset allocation. No prior financial knowledge is assumed; an effort is made to develop all models presented from first principles, and references are provided for those who wish to probe a given topic in greater depth. At the same time, the book also serves as an introduction to Matlab, which is used throughout the book to provide working code examples for all of the models discussed in the text. These code fragments, which may be downloaded from the internet, can help readers jump-start their own efforts at writing Matlab code for financial applications. This book can thus be useful in different ways to different people. It offers an excellent first exposure to finance for scientists and engineers interested in joining the field. For experienced practitioners, the book and accompanying code fragments can greatly minimize the time required to start implementing models in Matlab, a very powerful programming tool.”

Lev Dynkin,Managing Director, Quantitative Portfolio Strategies, Lehman Brothers.

From the Back Cover:

Strategic Asset Allocation in Fixed Income Markets explains financial and econometrical modelling techniques that can be used to implement strategic asset allocation methods in practice using MATLAB.

Written by experienced Economist, Ken Nyholm, the book begins by introducing the reader to strategic asset allocation and its definition and applications before going on to explain how to use MATLAB in fixed-income investments and risk measurement using introductory matrix algebra, linear regression, spot rates and yields, forward rates and bond pricing functions. The second part of the book goes on to explain term structure models using examples of arbitrage-free and not necessarily arbitrage-free models; asset allocation models using the efficient frontier as a central concept; and introduces various econometric techniques such as vector autoregressive and regime-switching models.

All financial concepts used in the book are introduced from a basic level and are subsequently extended into more complicated solution models making the book both accessible and straight-forward. Framed in the context of strategic asset allocation for a fixed-income investment universe, all the tools, techniques and examples relate to bond investments. All examples are supported by annotated MATLAB code and mathematical derivations as a means to aid the reader’s effort to implement their own model specifications.

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Descrizione libro John Wiley and Sons. Condizione libro: New. Brand New. Codice libro della libreria 0470753625

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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2008. Hardback. Condizione libro: New. New. Language: English . Brand New Book. * 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 - 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. Codice libro della libreria AAH9780470753620

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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2008. Hardback. Condizione libro: New. New. Language: English . Brand New Book. * 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 - 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. Codice libro della libreria AAH9780470753620

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Descrizione libro John Wiley and Sons Ltd. Hardback. Condizione libro: new. BRAND NEW, Strategic Asset Allocation in Fixed Income Markets: A Matlab Based User's Guide, Ken Nyholm, * 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. Codice libro della libreria B9780470753620

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Descrizione libro John Wiley and#38; Sons, 2008. HRD. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria FW-9780470753620

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Descrizione libro Wiley, 2008. Hardcover. Condizione libro: New. book. Codice libro della libreria 0470753625

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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2008. Hardback. Condizione libro: New. New. Language: English . This book usually ship within 10-15 business days and we will endeavor to dispatch orders quicker than this where possible. Brand New Book. * 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 - 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. Codice libro della libreria BZV9780470753620

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Descrizione libro Wiley, 2008. Hardcover. Condizione libro: New. 1. Codice libro della libreria DADAX0470753625

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Descrizione libro 2008. Hardback. Condizione libro: NEW. 9780470753620 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Codice libro della libreria HTANDREE0769962

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