Interest Rate Modelling in the Multi-Curve Framework

Foundations, Evolution and Implementation

Business & Finance, Finance & Investing, Finance, Investments & Securities
Cover of the book Interest Rate Modelling in the Multi-Curve Framework by M. Henrard, Palgrave Macmillan UK
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Author: M. Henrard ISBN: 9781137374660
Publisher: Palgrave Macmillan UK Publication: May 29, 2014
Imprint: Palgrave Macmillan Language: English
Author: M. Henrard
ISBN: 9781137374660
Publisher: Palgrave Macmillan UK
Publication: May 29, 2014
Imprint: Palgrave Macmillan
Language: English
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

Following the financial crisis dramatic market changes, a new standard in interest rate modelling emerged, called the multi-curve framework. The author provides a detailed analysis of the framework, through its foundations, evolution and implementation. The book also covers recent extensions to collateral and stochastic spreads modelling.

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Following the financial crisis dramatic market changes, a new standard in interest rate modelling emerged, called the multi-curve framework. The author provides a detailed analysis of the framework, through its foundations, evolution and implementation. The book also covers recent extensions to collateral and stochastic spreads modelling.

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