Strategic Asset Allocation in Fixed Income Markets: A MATLAB-Based User's Guide (Wiley Finance Series)

1 valoración promedio
( 1 valoraciones por GoodReads )
 
9780470753620: Strategic Asset Allocation in Fixed Income Markets: A MATLAB-Based User's Guide (Wiley Finance Series)
From the Publisher:

* 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

About the Author:

Ken Nyholm works in the Risk Management Division of the European Central Bank, focusing on the practical implementation of financial and quantitative techniques in the area of fixed income strategic asset allocation for the bank's domestic and foreign currency portfolios, as well as asset and liability management for pensions. Ken holds a PhD in finance and has published numerous articles on yield curve modelling and financial market microstructure. Ken has extensive teaching and communication experience obtained from university courses at the master level, as well as conference speaking engagements, and central banking seminars.

"Sobre este título" puede pertenecer a otra edición de este libro.

Los mejores resultados en AbeBooks

1.

Nyholm, Ken
ISBN 10: 0470753625 ISBN 13: 9780470753620
Nuevos Cantidad: 5
Librería
GreatBookPrices
(Columbia, MD, Estados Unidos de America)
Valoración
[?]

Descripción Estado de conservación: New. Nº de ref. de la librería 5343032-n

Más información sobre esta librería | Hacer una pregunta a la librería

Comprar nuevo
EUR 54,90
Convertir moneda

Añadir al carrito

Gastos de envío: EUR 2,46
A Estados Unidos de America
Destinos, gastos y plazos de envío

2.

Nyholm, Ken
Editorial: John Wiley and Sons
ISBN 10: 0470753625 ISBN 13: 9780470753620
Nuevos Cantidad: > 20
Librería
INDOO
(Avenel, NJ, Estados Unidos de America)
Valoración
[?]

Descripción John Wiley and Sons. Estado de conservación: New. Brand New. Nº de ref. de la librería 0470753625

Más información sobre esta librería | Hacer una pregunta a la librería

Comprar nuevo
EUR 54,09
Convertir moneda

Añadir al carrito

Gastos de envío: EUR 3,27
A Estados Unidos de America
Destinos, gastos y plazos de envío

3.

Nyholm, Ken
Editorial: John Wiley and Sons Ltd, United Kingdom (2008)
ISBN 10: 0470753625 ISBN 13: 9780470753620
Nuevos Tapa dura Cantidad: 10
Librería
The Book Depository
(London, Reino Unido)
Valoración
[?]

Descripción John Wiley and Sons Ltd, United Kingdom, 2008. Hardback. Estado de conservación: New. New. 228 x 152 mm. Language: English . Brand New Book. * 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 - 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. Nº de ref. de la librería AAH9780470753620

Más información sobre esta librería | Hacer una pregunta a la librería

Comprar nuevo
EUR 61,64
Convertir moneda

Añadir al carrito

Gastos de envío: GRATIS
De Reino Unido a Estados Unidos de America
Destinos, gastos y plazos de envío

4.

Nyholm, Ken
Editorial: John Wiley and Sons Ltd, United Kingdom (2008)
ISBN 10: 0470753625 ISBN 13: 9780470753620
Nuevos Tapa dura Cantidad: 10
Librería
The Book Depository US
(London, Reino Unido)
Valoración
[?]

Descripción John Wiley and Sons Ltd, United Kingdom, 2008. Hardback. Estado de conservación: New. New. 228 x 152 mm. Language: English . Brand New Book. * 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 - 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. Nº de ref. de la librería AAH9780470753620

Más información sobre esta librería | Hacer una pregunta a la librería

Comprar nuevo
EUR 61,83
Convertir moneda

Añadir al carrito

Gastos de envío: GRATIS
De Reino Unido a Estados Unidos de America
Destinos, gastos y plazos de envío

5.

Nyholm, Ken
Editorial: John Wiley and#38; Sons (2008)
ISBN 10: 0470753625 ISBN 13: 9780470753620
Nuevos Cantidad: > 20
Librería
Books2Anywhere
(Fairford, GLOS, Reino Unido)
Valoración
[?]

Descripción John Wiley and#38; Sons, 2008. HRD. Estado de conservación: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Nº de ref. de la librería FW-9780470753620

Más información sobre esta librería | Hacer una pregunta a la librería

Comprar nuevo
EUR 57,46
Convertir moneda

Añadir al carrito

Gastos de envío: EUR 10,64
De Reino Unido a Estados Unidos de America
Destinos, gastos y plazos de envío

6.

Nyholm, Ken
Editorial: Wiley (2008)
ISBN 10: 0470753625 ISBN 13: 9780470753620
Nuevos Tapa dura Cantidad: 1
Librería
Book Deals
(Lewiston, NY, Estados Unidos de America)
Valoración
[?]

Descripción Wiley, 2008. Estado de conservación: New. Brand New, Unread Copy in Perfect Condition. A+ Customer Service! Summary: Matlab is used within nearly all investment banks and is a requirement in most quant job ads. Nº de ref. de la librería ABE_book_new_0470753625

Más información sobre esta librería | Hacer una pregunta a la librería

Comprar nuevo
EUR 70,43
Convertir moneda

Añadir al carrito

Gastos de envío: GRATIS
A Estados Unidos de America
Destinos, gastos y plazos de envío

7.

Nyholm, Ken
Editorial: Wiley (2008)
ISBN 10: 0470753625 ISBN 13: 9780470753620
Nuevos Tapa dura Cantidad: 1
Librería
Irish Booksellers
(Rumford, ME, Estados Unidos de America)
Valoración
[?]

Descripción Wiley, 2008. Hardcover. Estado de conservación: New. book. Nº de ref. de la librería 0470753625

Más información sobre esta librería | Hacer una pregunta a la librería

Comprar nuevo
EUR 80,21
Convertir moneda

Añadir al carrito

Gastos de envío: GRATIS
A Estados Unidos de America
Destinos, gastos y plazos de envío

8.

Nyholm, Ken
ISBN 10: 0470753625 ISBN 13: 9780470753620
Nuevos Tapa dura Primera edición Cantidad: 1
Librería
Grand Eagle Retail
(Wilmington, DE, Estados Unidos de America)
Valoración
[?]

Descripción 2008. Hardcover. Estado de conservación: New. 1st. 155mm x 20mm x 229mm. Hardcover. * 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 .Shipping may be from multiple locations in the US or from the UK, depending on stock availability. 167 pages. 0.431. Nº de ref. de la librería 9780470753620

Más información sobre esta librería | Hacer una pregunta a la librería

Comprar nuevo
EUR 84,54
Convertir moneda

Añadir al carrito

Gastos de envío: GRATIS
A Estados Unidos de America
Destinos, gastos y plazos de envío

9.

Nyholm, Ken
ISBN 10: 0470753625 ISBN 13: 9780470753620
Nuevos Tapa dura Cantidad: 1
Librería
Herb Tandree Philosophy Books
(Stroud, GLOS, Reino Unido)
Valoración
[?]

Descripción 2008. Hardback. Estado de conservación: NEW. 9780470753620 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Nº de ref. de la librería HTANDREE0769962

Más información sobre esta librería | Hacer una pregunta a la librería

Comprar nuevo
EUR 77,02
Convertir moneda

Añadir al carrito

Gastos de envío: EUR 9,46
De Reino Unido a Estados Unidos de America
Destinos, gastos y plazos de envío

10.

Nyholm, Ken
Editorial: John Wiley & Sons Inc (2008)
ISBN 10: 0470753625 ISBN 13: 9780470753620
Nuevos Tapa dura Cantidad: 2
Librería
Revaluation Books
(Exeter, Reino Unido)
Valoración
[?]

Descripción John Wiley & Sons Inc, 2008. Hardcover. Estado de conservación: Brand New. new edition. 167 pages. 9.50x6.50x1.00 inches. In Stock. Nº de ref. de la librería __0470753625

Más información sobre esta librería | Hacer una pregunta a la librería

Comprar nuevo
EUR 87,20
Convertir moneda

Añadir al carrito

Gastos de envío: EUR 7,09
De Reino Unido a Estados Unidos de America
Destinos, gastos y plazos de envío

Existen otras copia(s) de este libro

Ver todos los resultados de su búsqueda