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

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Ken Nyholm
Editore: John Wiley and Sons Ltd, United Kingdom (2008)
ISBN 10: 0470753625 ISBN 13: 9780470753620
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2008. Hardback. Condizione libro: New. New. 228 x 152 mm. 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#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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Ken Nyholm
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2008. Hardback. Condizione libro: New. New. 228 x 152 mm. 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 Wiley, 2008. Hardcover. Condizione libro: New. book. Codice libro della libreria 0470753625

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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. Hardcover. Condizione libro: New. 1st. 155mm x 20mm x 229mm. Hardcover. * 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 .Shipping may be from multiple locations in the US or from the UK, depending on stock availability. 167 pages. 0.431. Codice libro della libreria 9780470753620

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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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Descrizione libro John Wiley & Sons Inc, 2008. Hardcover. Condizione libro: Brand New. new edition. 167 pages. 9.50x6.50x1.00 inches. In Stock. Codice libro della libreria __0470753625

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Descrizione libro John Wiley & Sons, 2008. Hardcover. Condizione libro: New. 16.2 x 22.9 cm. Our orders are sent from our warehouse locally or directly from our international distributors to allow us to offer you the best possible price and delivery time. Book. Codice libro della libreria MM-60129820

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Descrizione libro 2008. Hardcover. Condizione libro: New. 1st. 155mm x 20mm x 229mm. Hardcover. * 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 * Ena.Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability. 167 pages. 0.431. Codice libro della libreria 9780470753620

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