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Interest rate modelling in the multi-curve framework : foundations, evolution and implementation / by Marc Henrard.

By: Contributor(s): Series: Applied Quantitative FinancePublisher: London : Palgrave Macmillan UK, 2014Description: 1 online resource (xiii, 241 pages)Content type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9781137374660
Subject(s): Online resources: In: Springer eBooks In: Palgrave connect e-booksSummary: 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.
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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.

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