Interest rate modelling in the multi-curve framework : foundations, evolution and implementation /
Henrard, Marc,
Interest rate modelling in the multi-curve framework : foundations, evolution and implementation / by Marc Henrard. - 1 online resource (xiii, 241 pages). - Applied Quantitative Finance . - Applied Quantitative Finance .
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.
9781137374660
Science.
Interest rate modelling in the multi-curve framework : foundations, evolution and implementation / by Marc Henrard. - 1 online resource (xiii, 241 pages). - Applied Quantitative Finance . - Applied Quantitative Finance .
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.
9781137374660
Science.