Interest Rate Modelling in the Multi-Curve Framework
Foundations, Evolution and Implementation
Format:Paperback
Publisher:Palgrave Macmillan
Published:1st Jan '14
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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.
ISBN: 9781349477043
Dimensions: unknown
Weight: 3927g
241 pages
1st ed. 2014