LEADER 03958nam 2200625Ia 450 001 9910144117103321 005 20170815111134.0 010 $a1-119-20704-5 010 $a1-281-93955-2 010 $a9786611939557 010 $a0-470-72107-3 035 $a(CKB)1000000000549450 035 $a(EBL)366858 035 $a(OCoLC)476202105 035 $a(SSID)ssj0000251983 035 $a(PQKBManifestationID)12048312 035 $a(PQKBTitleCode)TC0000251983 035 $a(PQKBWorkID)10190245 035 $a(PQKB)11007601 035 $a(MiAaPQ)EBC366858 035 $a(EXLCZ)991000000000549450 100 $a20080602d2008 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aStrategic asset allocation in fixed-income markets$b[electronic resource] $ea MATLAB-based user's guide /$fKen Nyholm 210 $aHoboken, NJ ;$aChichester, West Sussex $cWiley$dc2008 215 $a1 online resource (187 p.) 225 1 $aThe Wiley Finance Series 300 $aDescription based upon print version of record. 311 $a0-470-75362-5 320 $aIncludes bibliographical references and index. 327 $aStrategic Asset Allocation in Fixed-Income Markets; Contents; List of Figures; Preface and Disclaimer; Acknowledgements; 1 Introduction; 1.1 Strategic asset allocation; 1.2 Outline of the book; 2 Essential Elements of MATLAB; 2.1 Introduction; 2.2 Getting started; 2.3 Introductory matrix algebra; 2.4 Organising data; 2.5 Creating functions; 2.6 Linear regression; 2.7 Some estimation examples; 2.8 A brief introduction to simulations; 3 Fixed-Income Preliminaries; 3.1 Introduction; 3.2 Spot rates and yields; 3.3 Forward rates; 3.4 Bond pricing functions; 4 Risk and Return Measures 327 $a4.1 Introduction4.2 Risk measures; 4.3 Fixed-income returns; 5 Term Structure Models; 5.1 Introduction; 5.2 Not necessarily arbitrage-free models; 5.3 Arbitrage-free models; 6 Asset Allocation; 6.1 Introduction; 6.2 Efficient portfolios; 6.3 Diversification; 6.4 The minimum variance portfolio; 6.5 Asset weight constraints; 6.6 The Capital Asset Pricing Model; 7 Statistical Tools; 7.1 Introduction; 7.2 Vector autoregression; 7.3 Regime-switching models; 7.4 Yield curve models in state-space form; 7.5 Importance sampling; 8 Building Graphical User Interfaces; 8.1 Introduction 327 $a8.2 The 'guide' development environment8.3 Creating a simple GUI; 9 Useful Formulae and Expressions; 9.1 Introduction; 9.2 Matrix operations; 9.3 Decompositions; 9.4 Basic rules; 9.5 Distributions; 9.6 Functions; 9.7 Taylor series approximation; 9.8 Interest rates, returns and portfolio statistics; Bibliography; Index 330 $aMatlab is used within nearly all investment banks and is a requirement in most quant job ads. There is no other book written for finance practitioners that covers thisEnables readers to implement financial and econometric models in MatlabAll central concepts and theories are illustrated by Matlab implementations which are accompanied by detailed descriptions of the programming steps neededAll concepts and techniques are introduced from a basic levelChapter 1 introduces Matlab and matrix algebra, it serves to make the reader familiar with the use and basic capabilities i 410 4$aThe Wiley Finance Series 606 $aAsset allocation$xMathematical models 606 $aAsset-liability management$xMathematical models 608 $aElectronic books. 615 0$aAsset allocation$xMathematical models. 615 0$aAsset-liability management$xMathematical models. 676 $a332.60113 676 $a332.63/2044 676 $a332.632044 700 $aNyholm$b Ken$0962297 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910144117103321 996 $aStrategic asset allocation in fixed-income markets$92181931 997 $aUNINA