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This text aims to provide practical models and methods for the quantitative analysis of financial asset prices, construction of various portfolios, and computer-assisted trading systems. In particular, it should be helpful reading for Quants (quantitatively-inclined analysts) in financial industries, financial engineers in investment banks; securities companies, derivative-trading companies, and software houses who are developing portfolio trading systems; graduate students and specialists in the areas of finance, business, hardbound economics, statistics, financial engineering; investors who...

This book presents a comprehensive, innovative, integrated, and empirically effective system for cross-sectionally analyzing prices of government bonds (GBs) and corporate bonds (CBs) to timely obtain practically useful information on yield curves and default curves. The system consists of (1) GB-pricing model that values coupon GB and gives yield curve, (2) credit risk rating model of each CB, and (3) CB-pricing model that gives default curve or equivalently term structure of default probabilities (TSDP), which prices credit default swap (CDS). And in view of data science, the empirical...