Applied Quantitative Finance

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This volume offers practical solutions and recent theoretical advancements in risk management, credit derivatives pricing, volatility quantification, and copula modeling. The third edition focuses on modern risk analysis using quantitative methods and textual analytics to address current banking and finance challenges. It features 14 new contributions and provides a comprehensive overview of cutting-edge methods, including collateralized debt obligations, high-frequency market liquidity analysis, and realized volatility. The book is structured into three parts: Part 1 addresses key market risk issues, Part 2 presents innovative concepts in credit risk management and updated quantitative techniques, while Part 3 explores risk management dynamics, including energy markets and cryptocurrencies. Digital assets, particularly blockchain-based currencies, present unique theoretical challenges. The text introduces dynamic topic modeling, applying it to Bitcoin message boards. The integration of theory and practice, supported by computational tools, is evident in the selected topics and the balance between scientific contributions and practical implementation. This resource is beneficial for researchers, including master's and PhD students, as well as practitioners like financial engineers. Results are reproducible, with all necessary quantlets available on an accompanying website. The Quantlet platform promotes reproducibility and kno