Strategic Asset Allocation in Fixed Income Markets: A Matlab based user's guide
“An extremely useful book for anyone interested in actually applying MATLAB based computational techniques to fixed-income problems. Theoretically sound and practically useful: a rare combination. I decided to buy MATLAB after reading it.”Dr Riccardo Rebonato,Global Head of Market Risk and Quant Analytics, RBS.“This book is a wonderfully practical 'how to' guide for bond market empirics implemented in MATLAB, with particular strength in dynamic yield curve models. It will interest students and practitioners alike.”Francis X. Diebold,Joseph M.Cohen Professor of Economics, Finance and Statistics, and Co-Director of the Wharton Financial Institutions Center, University of Pennsylvania.“This book offers a unique opportunity for mathematically savvy readers with little prior exposure to finance to "hit the ground running" in fixed income modeling. It provides a broad but thorough introduction to fixed-income finance, from basic elements like price-yield conversions to more complex topics such as term structure modeling and strategic asset allocation. No prior financial knowledge is assumed; an effort is made to develop all models presented from first principles, and references are provided for those who wish to probe a given topic in greater depth. At the same time, the book also serves as an introduction to Matlab, which is used throughout the book to provide working code examples for all of the models discussed in the text. These code fragments, which may be downloaded from the internet, can help readers jump-start their own efforts at writing Matlab code for financial applications. This book can thus be useful in different ways to different people. It offers an excellent first exposure to finance for scientists and engineers interested in joining the field. For experienced practitioners, the book and accompanying code fragments can greatly minimize the time required to start implementing models in Matlab, a very powerful programming tool.”Lev Dynkin,Managing Director, Quantitative Portfolio Strategies, Lehman Brothers.