* 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(R)
* All central concepts and theories are illustrated by Matlab(R)
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(R) and matrix algebra, it serves to
make the reader familiar with the use and basic capabilities if
Matlab(R). The chapter concludes with a walkthrough of a linear
regression model, showing how Matlab(R) 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(R) 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 seriesmodels such as Vector
Autoregression and regime-switching are also presented
* Supported by a website with online resources - www.kennyholm.com
where all Matlab(R) programs referred to in the text can be
downloaded. The site also contains lecture slides and answers to
end of chapter exercises
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