NSG & ASG

 

NSG

You can use an Azure network security group to filter network traffic to and from Azure resources in an Azure virtual network. A network security group contains security rules that allow or deny inbound network traffic to, or outbound network traffic from, several types of Azure resources. For each rule, you can specify source and destination, port, and protocol.

ASG

Azure Applications Security Groups make managing network policies for virtual machines easier by logically group VM's together, then applying policies to the group of VM rather than on a per subnet or per VM basis. This alleviates brittle network policies and can simplify network security 

What is application security group? 

Azure Application Security Groups (ASG) allows for configuring network security using an application-centric approach within Network Security Groups (NSG). ... They work by assigning the network interfaces of virtual machines, as members of the ASG.