Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation - Applied Quantitative Finance - M. Henrard - Books - Palgrave Macmillan - 9781137374653 - May 29, 2014
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M. Henrard
Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation - Applied Quantitative Finance

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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.

264 pages, 24 figures, 35 black & white tables

Media Books     Hardcover Book   (Book with hard spine and cover)
Released May 29, 2014
ISBN13 9781137374653
Publishers Palgrave Macmillan
Pages 241
Dimensions 242 × 164 × 21 mm   ·   544 g

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