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.
Epub (Kobo), Epub (Adobe)
Publication Date: 24/05/2016
- ISBN:
- 9781137374660
- 9781137374660
- Category:
- Investment & securities
- Format:
- Epub (Kobo), Epub (Adobe)
- Publication Date:
- 24-05-2016
- Language:
- English
- Publisher:
- Palgrave Macmillan UK
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