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Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation - Applied Quantitative Finance M. Henrard
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Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation - Applied Quantitative Finance
M. Henrard
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.
264 pages, 24 figures, 35 black & white tables
| Media | Books Hardcover Book (Book with hard spine and cover) |
| Released | May 29, 2014 |
| ISBN13 | 9781137374653 |
| Publishers | Palgrave Macmillan |
| Pages | 241 |
| Dimensions | 242 × 164 × 21 mm · 544 g |
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