Strategic Asset Allocation in Fixed Income Markets

Beschreibung

* Matlab is used within nearly all investment banks and is arequirement in most quant job ads. There is no other book writtenfor finance practitioners that covers this * Enables readers to implement financial and econometric modelsin Matlab * All central concepts and theories are illustrated by Matlabimplementations which are accompanied by detailed descriptions ofthe programming steps needed * All concepts and techniques are introduced from a basiclevel * Chapter 1 introduces Matlab and matrix algebra, it serves tomake the reader familiar with the use and basic capabilities ifMatlab. The chapter concludes with a walkthrough of a linearregression model, showing how Matlab can be used to solve anexample problem analytically and by the use of optimization andsimulation techniques * Chapter 2 introduces expected return and risk as centralconcepts in finance theory using fixed income instruments asexamples, the chapter illustrates how risk measures such asstandard deviation, Modified duration, VaR, and expected shortfallcan be calculated empirically and in closed form * Chapter 3 introduces the concept of diversification andillustrates how the efficient investment frontier can be derived -a Matlab is developed that can be used to calculate a given numberof portfolios that lie on an efficient frontier, the chapter alsointroduces the CAPM * Chapter 4 introduces econometric tools: principle componentanalysis is presented and used as a prelude to yield-curve factormodels. The Nelson-Siegel model is used to introduce theKalman-Filter as a way to add time-series dynamics to the evolutionof yield curves over time, time series models such as VectorAutoregression and regime-switching are also presented * Supported by a website with online resources -www.kennyholm.com where all Matlab programs referred to in the textcan be downloaded. The site also contains lecture slides andanswers to end of chapter exercises

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Ken Nyholm

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Finance & Investments Financial Engineering Finanz- u. Anlagewesen Finanztechnik

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