Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation

By Marc Henrard

Book Overview

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.

• Format: Paperback
• Language: English
• ISBN: 1349477044
• ISBN13: 9781349477043
• Release Date: January 2014
• Publisher: Palgrave MacMillan
• Length: 241 Pages
• Weight: 0.80 lbs.
• Dimensions: 0.5" x 6.1" x 9.2"