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Presents explanations for fixed income securities, pricing, and markets. This book emphasizes on institutions, analytics, selected segments of fixed income markets, and fixed income derivatives. It includes material on Credit Default Swaps, Collateralized Debt Obligations, and an integrated discussion of the Credit Crisis.
Internal ratings-based systems are widely used in banks to calculate their value-at-risk (VAR) in order to determine their capital requirements for loan and bond portfolios under Basel II. This book addresses one aspect of these ratings systems which is credit migrations.
Offers a technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a treatment of the use of multifractal techniques in finance. This book aims to popularize the approach by presenting these developments to a wider audience.
Explores the appeal of neural networks and the genetic algorithm in finance. This book demonstrates how neural networks used in combination with evolutionary computation outperform classical econometric methods for accuracy in forecasting, classification and dimensionality reduction.
Presents an introduction to the fundamental and advanced finance principles and methods. This work helps readers to learn about key topics in quantitative finance such as option pricing, portfolio management and risk measurement.
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