Interest Rate Modelling in the Multi-Curve Framework
Foundations, Evolution and Implementation
Business & Finance, Finance & Investing, Finance, Investments & Securities
| 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 |
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.
