Code & Papers
MATLAB
A Terminal Rate Approach to Dissecting Term Premia (joint with Johannes Kramer)
A Practitioner’s Guide to Discrete Time Yield Curve Modelling
Strategic Asset Allocation in Fixed Income Markets: A MATLAB-Based User’s Guide
- Download MATLAB code
- Download previous version of the text
- Note: code is written for MATLAB R2008 — some parts may need updating.