Henrard, Marc, <br/><br/>
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 .
<br/><br/> 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. 
<br/><br/><label>ISBN: </label>9781137374660 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Science.