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Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation - Applied Quantitative Finance M. Henrard
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Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation - Applied Quantitative Finance
M. Henrard
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.
264 pages, 24 figures, 35 black & white tables
| Medios de comunicación | Libros Hardcover Book (Libro con lomo y cubierta duros) |
| Publicado | 29 de mayo de 2014 |
| ISBN13 | 9781137374653 |
| Editores | Palgrave Macmillan |
| Páginas | 241 |
| Dimensiones | 242 × 164 × 21 mm · 544 g |
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