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Strategic Asset Allocation in Fixed Income Markets: A Matlab based user's guide (The Wiley Finance Series)
- 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
Customer Reviews:
Half-baked
By Dimitri Shvorob - January 21, 2010Quoting the Soviet worker who wrote to The Pravda to condemn "Dr. Zhivago": "I have not read the book, but I deplore it". The table of contents left me puzzled. Term-structure models are dealt with over just 18 pages - this seems to satisfy all the five-star reviewers - after nothing more than fixed-income basics, there's talk of CAPM (is that the proposed approach to fixed-income asset allocation?), a why-these-particular-topics foray into econometrics, and some novice-oriented Matlab content. (GUIs?) I am struggling to see the book as a credible reference on the subject of its title.
Superb!
By A Kid's Review - August 3, 2009I've read literally hundreds of finance book but this is quite easily one of the best. The theory is well paced and structured. This is complemented by numerous practical examples where the matlab code is given and also supplemented by excellent notes that ensure you are 100% in the clear about what is happening at all times.
I used it to learn matlab and also to implemet some term structure models. This book ensured both were painless processes.
If you are interested in learning matlab for finance or want a practical guide to term structure modelling this you MUST buy this book.
Excellent and well worth the money
By AB - July 24, 2009This book is a great resource for anyone involved in strategic asset allocation for central banks. It is theoretically solid, yet at the same time highly practical. Nyholm has done a great job and the Matlab examples and code are very useful. I heartily recommend this book to anyone that is serious about asset allocation for fixed income investors.
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