Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds

  • Arjan B. Berkelaar
  • Joachim Coche
  • Ken Nyholm

Table of contents

  1. Front Matter
    Pages i-xl
  2. Interest Rate Modelling and Forecasting

    1. Front Matter
      Pages 1-1
    2. David Jamieson Bolder, Yuliya Romanyuk
      Pages 3-30
    3. Leonardo M. Nogueira
      Pages 31-43
    4. Fernando Monar Lora, Ken Nyholm
      Pages 44-63
  3. Portfolio Optimization Techniques

    1. Front Matter
      Pages 91-91
    2. Paulo Maurício F. de Cacella, Isabela Ribeiro Damaso, Antônio Francisco da Silva Jr
      Pages 93-111
    3. José Luiz Barros Fernandes, José Renato Haas Ornelas
      Pages 112-133
    4. Aaron Drew, Richard Frogley, Tore Hayward, Rishab Sethi
      Pages 189-206
    5. Petri Hilli, Matti Koivu, Teemu Pennanen
      Pages 207-221
  4. Asset Class Modelling and Quantitative Techniques

    1. Front Matter
      Pages 223-223
    2. Marie Brière, Alexander Burgues, Ombretta Signori
      Pages 265-279
    3. Friedrich Schmid, Rafael Schmidt
      Pages 337-357
  5. Back Matter
    Pages 359-366

About this book


This edited volume contains essential readings for financial analysts and market practitioners working at Central Banks and Sovereign Wealth Funds. It presents the reader with state-of-the-art methods that are directly implementable, and industry 'best-practices' as followed by leading institutions in their field.


asset allocation investment Portfolio Portfolio Optimization Volatility

Editors and affiliations

  • Arjan B. Berkelaar
    • 1
  • Joachim Coche
    • 2
  • Ken Nyholm
    • 3
  1. 1.Kaust Investment Management CompanyUSA
  2. 2.Bank for International Settlements (BIS) in BasleSwitzerland
  3. 3.Risk Management Division of the European Central BankGermany

Bibliographic information

Industry Sectors
Finance, Business & Banking