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Strategic Asset Allocation in Fixed Income Markets: A Matlab based user's guide
John Wiley and Sons Ltd, Sep 2008, Pages: 186
This book will enable readers to implement financial and econometric models in Matlab(R). All central concepts and theories are illustrated by Matlab(R) 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(R) and matrix algebra, it seves to make the reader familiar with the use and basic capabilities if Matlab(R) such as variable and function definitions as well as some of the most essential built in functions e.g. the random number generator, the optimizer and the help functionalities. The chapter concludes with a walkthrough of a linear regression model, showing how Matlab(R) 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(R) 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.
The book is supported by a website with online resources where all Matlab(R) programs referred to in the text can be downloaded free of charge. The site also contains lecture slides and answers to end of chapter exercises.
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