Interest Rate Modelling in the Multi-Curve Framework Foundations, Evolution and Implementation |
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| Author:
| Henrard, M. |
| Series title: | Applied Quantitative Finance Ser. |
| ISBN: | 978-1-137-37466-0 |
| Publication Date: | May 2014 |
| Publisher: | Palgrave Macmillan Limited
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| Book Format: | Ebook |
| List Price: | USD $100.00 |
Book Description:
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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.
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.