Strategic asset allocation in fixed-income markets: a MATLAB-based user's guide
Matlab is used within nearly all investment banks and is a requirement in most quant job ads.
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, NJ [u.a.]
Wiley
2008
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Zusammenfassung: | Matlab is used within nearly all investment banks and is a requirement in most quant job ads. |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | XV, 167 S. graph. Darst. |
| ISBN: | 9780470753620 |
Internformat
MARC
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| 100 | 1 | |a Nyholm, Ken |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Strategic asset allocation in fixed-income markets |b a MATLAB-based user's guide |c Ken Nyholm |
| 246 | 1 | 3 | |a Strategic asset allocation in fixed income markets |
| 264 | 1 | |a Hoboken, NJ [u.a.] |b Wiley |c 2008 | |
| 300 | |a XV, 167 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Includes bibliographical references and index | ||
| 520 | 3 | |a Matlab is used within nearly all investment banks and is a requirement in most quant job ads. | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Asset allocation |x Mathematical models | |
| 650 | 4 | |a Asset-liability management |x Mathematical models | |
| 650 | 0 | 7 | |a Mathematisches Modell |0 (DE-588)4114528-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Portfolio Selection |0 (DE-588)4046834-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a MATLAB |0 (DE-588)4329066-8 |2 gnd |9 rswk-swf |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-016585189 | ||
Datensatz im Suchindex
| _version_ | 1804137785908527104 |
|---|---|
| adam_text | Contents
List of Figures xi
Preface and Disclaimer xiii
Acknowledgements xvii
1 Introduction 1
1.1 Strategic asset allocation 1
1.2 Outline of the book 5
2 Essential Elements of MATLAB 7
2.1 Introduction 7
2.2 Getting started 8
2.3 Introductory matrix algebra 12
2.4 Organising data 16
2.5 Creating functions 18
2.6 Linear regression 23
2.7 Some estimation examples 27
2.8 A brief introduction to simulations 32
3 Fixed-Income Preliminaries 39
3.1 Introduction 39
3.2 Spot rates and yields 39
3.3 Forward rates 47
3.4 Bond pricing functions 48
4 Risk and Return Measures 51
4.1 Introduction 51
4.2 Risk measures 51
4.3 Fixed-income returns 65
Contents
Term Structure Models 69
5.1 Introduction 69
5.2 Not necessarily arbitrage-free models 69
5.3 Arbitrage-free models 74
Asset Allocation 87
6.1 Introduction 87
87
95
98
100
106
109
109
109
112
123
129
Building Graphical User Interfaces 135
8.1 Introduction 135
8.2 The guide development environment 135
8.3 Creating a simple GUI 138
149
149
149
153
154
156
157
159
159
161
163
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
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
List of Figures
2.1 Example of the plot command
2.2 Example of the hold on command
2.3 Example of the subplot command
2.4 Original and simulated data
2.5 Simulated parameter distributions
3.1 Yield curve examples on given dates
3.2 Example of yield curve s shapes and locations
3.3 Comparison of a zero curve and a yield curve
4.1 Variance and covariance
4.2 Risk measures
4.3 Empirical and normal distribution
4.4 Bond price sensitivity to yield levels
4.5 Approximations to the MD and convexity
5.1 Nelson-Siegel yield curve factors
5.2 Nelson-Siegel factor sensitivities (X = 0.08)
5.3 Vasicek example yield curve
5.4 Upward and inverse Vasicek yield curves
5.5 Observed and estimated yields from a no-arbitrage model
6.1 Example of efficient and inefficient portfolios
6.2 The possible investment frontier
6.3 Example of the diversification effect
6.4 Example of an unconstrained and constrained efficient frontier
6.5 The capital market line
7.1 Example of regime-switching data
7.2 Data and estimated probability for state 1
7.3 State probabilities and the slope factor
7.4 Estimates of expected shortfall
8.1 The MATLAB guide start screen
8.2 The GUI development area
8.3 The Property Inspector
8.4 Changing the name and tag properties of a Push Button
8.5 Nelson-Siegel GUI
9
10
12
35
35
41
42
46
52
54
55
60
65
70
71
79
81
84
88
94
97
106
107
113
122
128
132
136
137
138
139
140
xii List of Figures
8.6 Illustrating the usage of the first part of the Nelson-Siegel
example GUI 144
8.7 Input area for the lower part of the Nelson-Siegel example GUI 144
8.8 The expanded input area 146
9.1 An example of a function and its inverse 159
|
| adam_txt |
Contents
List of Figures xi
Preface and Disclaimer xiii
Acknowledgements xvii
1 Introduction 1
1.1 Strategic asset allocation 1
1.2 Outline of the book 5
2 Essential Elements of MATLAB 7
2.1 Introduction 7
2.2 Getting started 8
2.3 Introductory matrix algebra 12
2.4 Organising data 16
2.5 Creating functions 18
2.6 Linear regression 23
2.7 Some estimation examples 27
2.8 A brief introduction to simulations 32
3 Fixed-Income Preliminaries 39
3.1 Introduction 39
3.2 Spot rates and yields 39
3.3 Forward rates 47
3.4 Bond pricing functions 48
4 Risk and Return Measures 51
4.1 Introduction 51
4.2 Risk measures 51
4.3 Fixed-income returns 65
Contents
Term Structure Models 69
5.1 Introduction 69
5.2 Not necessarily arbitrage-free models 69
5.3 Arbitrage-free models 74
Asset Allocation 87
6.1 Introduction 87
87
95
98
100
106
109
109
109
112
123
129
Building Graphical User Interfaces 135
8.1 Introduction 135
8.2 The'guide'development environment 135
8.3 Creating a simple GUI 138
149
149
149
153
154
156
157
159
159
161
163
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
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
List of Figures
2.1 Example of the 'plot' command
2.2 Example of the 'hold on' command
2.3 Example of the 'subplot' command
2.4 Original and simulated data
2.5 Simulated parameter distributions
3.1 Yield curve examples on given dates
3.2 Example of yield curve's shapes and locations
3.3 Comparison of a zero curve and a yield curve
4.1 Variance and covariance
4.2 Risk measures
4.3 Empirical and normal distribution
4.4 Bond price sensitivity to yield levels
4.5 Approximations to the MD and convexity
5.1 Nelson-Siegel yield curve factors
5.2 Nelson-Siegel factor sensitivities (X = 0.08)
5.3 Vasicek example yield curve
5.4 Upward and inverse Vasicek yield curves
5.5 Observed and estimated yields from a no-arbitrage model
6.1 Example of efficient and inefficient portfolios
6.2 The possible investment frontier
6.3 Example of the diversification effect
6.4 Example of an unconstrained and constrained efficient frontier
6.5 The capital market line
7.1 Example of regime-switching data
7.2 Data and estimated probability for state 1
7.3 State probabilities and the slope factor
7.4 Estimates of expected shortfall
8.1 The MATLAB 'guide' start screen
8.2 The GUI development area
8.3 The 'Property Inspector'
8.4 Changing the name and tag properties of a 'Push Button'
8.5 Nelson-Siegel GUI
9
10
12
35
35
41
42
46
52
54
55
60
65
70
71
79
81
84
88
94
97
106
107
113
122
128
132
136
137
138
139
140
xii List of Figures
8.6 Illustrating the usage of the first part of the Nelson-Siegel
example GUI 144
8.7 Input area for the lower part of the Nelson-Siegel example GUI 144
8.8 The expanded input area 146
9.1 An example of a function and its inverse 159 |
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| dewey-sort | 3332.63 42044 |
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| discipline | Informatik Wirtschaftswissenschaften |
| discipline_str_mv | Informatik Wirtschaftswissenschaften |
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| spelling | Nyholm, Ken Verfasser aut Strategic asset allocation in fixed-income markets a MATLAB-based user's guide Ken Nyholm Strategic asset allocation in fixed income markets Hoboken, NJ [u.a.] Wiley 2008 XV, 167 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references and index Matlab is used within nearly all investment banks and is a requirement in most quant job ads. Mathematisches Modell Asset allocation Mathematical models Asset-liability management Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf MATLAB (DE-588)4329066-8 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 s Mathematisches Modell (DE-588)4114528-8 s MATLAB (DE-588)4329066-8 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016585189&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Nyholm, Ken Strategic asset allocation in fixed-income markets a MATLAB-based user's guide Mathematisches Modell Asset allocation Mathematical models Asset-liability management Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd Portfolio Selection (DE-588)4046834-3 gnd MATLAB (DE-588)4329066-8 gnd |
| subject_GND | (DE-588)4114528-8 (DE-588)4046834-3 (DE-588)4329066-8 |
| title | Strategic asset allocation in fixed-income markets a MATLAB-based user's guide |
| title_alt | Strategic asset allocation in fixed income markets |
| title_auth | Strategic asset allocation in fixed-income markets a MATLAB-based user's guide |
| title_exact_search | Strategic asset allocation in fixed-income markets a MATLAB-based user's guide |
| title_exact_search_txtP | Strategic asset allocation in fixed-income markets a MATLAB-based user's guide |
| title_full | Strategic asset allocation in fixed-income markets a MATLAB-based user's guide Ken Nyholm |
| title_fullStr | Strategic asset allocation in fixed-income markets a MATLAB-based user's guide Ken Nyholm |
| title_full_unstemmed | Strategic asset allocation in fixed-income markets a MATLAB-based user's guide Ken Nyholm |
| title_short | Strategic asset allocation in fixed-income markets |
| title_sort | strategic asset allocation in fixed income markets a matlab based user s guide |
| title_sub | a MATLAB-based user's guide |
| topic | Mathematisches Modell Asset allocation Mathematical models Asset-liability management Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd Portfolio Selection (DE-588)4046834-3 gnd MATLAB (DE-588)4329066-8 gnd |
| topic_facet | Mathematisches Modell Asset allocation Mathematical models Asset-liability management Mathematical models Portfolio Selection MATLAB |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016585189&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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