Applied Quantitative Finance

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This volume offers practical solutions and explores recent theoretical advancements in risk management, credit derivatives pricing, volatility quantification, and copula modeling. The third edition focuses on modern risk analysis through quantitative methods and textual analytics to address current banking and finance challenges. It features 14 new contributions, providing a comprehensive treatment of advanced methods and topics, including collateralized debt obligations, high-frequency market liquidity analysis, and realized volatility. The book is structured into three parts: the first revisits key market risk issues, the second introduces innovative concepts in credit risk management with updated quantitative methods, and the third examines risk management dynamics, including energy markets and cryptocurrencies. The text also details a modern text-mining method called dynamic topic modeling, applied to Bitcoin message boards. This synthesis of theory and practice, supported by computational tools, balances scientific contributions with practical implementation. It appeals to researchers, including master's and PhD students, as well as practitioners like financial engineers. The results are reproducible, with all necessary quantlets available on an accompanying website. The Quantlet platform fosters reproducibility and knowledge sharing within the social web, allowing readers to replicate the book's tables, figures, and calc