Interest Rate Modelling in the Multi-Curve Framework
| Author | : M. Henrard |
| Publisher | : Springer |
| Total Pages | : 300 |
| Release | : 2014-05-29 |
| ISBN-10 | : 9781137374660 |
| ISBN-13 | : 1137374667 |
| Rating | : 4/5 (667 Downloads) |
Book Synopsis Interest Rate Modelling in the Multi-Curve Framework by : M. Henrard
Download or read book Interest Rate Modelling in the Multi-Curve Framework written by M. Henrard and published by Springer. This book was released on 2014-05-29 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.