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Interest Rate Modelling in the Multi-Curve Framework

Interest Rate Modelling in the Multi-Curve Framework

Foundations, Evolution and Implementation

by M. Henrard
Paperback
Publication Date: 01/01/2014
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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.
ISBN:
9781349477043
9781349477043
Category:
Finance
Format:
Paperback
Publication Date:
01-01-2014
Publisher:
Palgrave Macmillan
Country of origin:
United Kingdom
Pages:
241
Dimensions (mm):
235x155x14mm
Weight:
3.93kg

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