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The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond …The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond …
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practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management …
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Introduction -- Part I Fundamentals: Credit Derivatives and Markets -- Mathematical Preliminaries -- Part II Static Models: One Factor Gaussian Copula Model -- Normal Inverse Gaussian Factor Copula Model -- Part III: Term-Structure Models -- Large Homogeneous Cell Approximation for Factor Copula...
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