Strategic Asset Allocation in Fixed Income Markets: A Matlab based user's guide Date: 27 April 2011, 09:06
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Product Description 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 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.
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