Strategic Asset Allocation in Fixed Income Markets / Wiley Finance Series (PDF)

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 Introductorymatrix algebra. 2.4 Organising data. 2.5 Creating functions. 2.5.1 Branching and looping. 2.5.2 An example of a simple function. 2.5.3 Calling functions in Matlab Rø. 2.6 The linear regression. 2.6.1 The basic setup. 2.6.2 Maximumlikelihood. 2.7 Some estimation examples. 2.8 A brief introduction to simulations. 2.8.1 Generating correlated randomnumbers. 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. 4.1 Introduction. 4.2 RiskMeasures. 4.2.1 Value-at-risk and Expected Shortfall. 4.2.2 Duration and modified duration. 4.3 Fixed-Income Returns. 5. Term Structure Models. 5.1 Introduction. 5.2 Not-Necessarily Arbitrage FreeModels. 5.2.1 Nelson and Siegel. 5.2.2 Svensson and Soderlind. 5.3 Arbitrage-FreeModels. 5.3.1 Vasicek. 5.3.2 Multi-factormodels: an example. 6. Asset Allocation. 6.1 Introduction. 6.2 Efficient portfolios. 6.3 Diversification. 6.4 Theminimumvariance portfolio. 6.5 Asset weight constraints. 6.6 The Capital Asset PricingModel. 7. Statistical Tools. 7.1 Introduction. 7.2 The Vector Auto Regression. 7.2.1 Order of integration. 7.3 Regime switchingmodels. 7.3.1 Introduction. 7.4 Yield curvemodels in state-space form. 7.4.1 The Nelson-Siegelmodel in state-space. 7.5 Importance Sampling. 7.5.1 Some theory. 7.5.2 An example. 8. Building graphical user interfaces. 8.1 Introduction. 8.2 The "guide" development environment. 8.3 Creating a simple GUI. 8.3.1 Plotting the yield curve. 8.3.2 Estimating λ and yield curve factors. 9. Useful Formulas and Expressions. 9.1 Introduction. 9.2 Matrix operations. 9.2.1 Definitions. 9.2.2 Sum. 9.2.3 Product. 9.2.4 Transpose. 9.2.5 Symmetricmatrix. 9.2.6 The Identitymatrix. 9.2.7 Determinant. 9.2.8 Rank. 9.2.9 Inverse. 9.2.10 Trace. 9.2.11 Powers. 9.2.12

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.

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