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Interest Rate Modelling in the Multi-Curve Framework

Foundations, Evolution and Implementation

M Henrard author

Format:Paperback

Publisher:Palgrave Macmillan

Published:1st Jan '14

Currently unavailable, and unfortunately no date known when it will be back

Interest Rate Modelling in the Multi-Curve Framework cover

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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