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Interest Rate Modelling in the Multi-Curve Framework

- Foundations, Evolution and Implementation

af M. Henrard

indgår i Applied Quantitative Finance serien

Interest Rate Modelling in the Multi-Curve Framework af M. Henrard
Bag om Interest Rate Modelling in the Multi-Curve Framework

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.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9781349477043
  • Indbinding:
  • Paperback
  • Sideantal:
  • 241
  • Udgivet:
  • 1. Januar 2014
  • Udgave:
  • 12014
  • Størrelse:
  • 155x235x14 mm.
  • Vægt:
  • 3927 g.
  • 8-11 hverdage.
  • 3. Oktober 2024

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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.

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