Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation (Applied Quantitative Finance)

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: Hardcover
• Language: English
• ISBN: 1137374659
• ISBN13: 9781137374653
• Release Date: May 2014
• Publisher: Palgrave Macmillan Limited
• Length: 254 Pages
• Weight: 1.20 lbs.
• Dimensions: 9.3" x 0.8" x 6.3"