Interest Rate Modelling in the Multi-Curve Framework : Foundations, Evolution and Implementation Hardback
by M. Henrard
Part of the Applied Quantitative Finance series
Hardback
Description
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.
Information
-
Item not Available
- Format:Hardback
- Pages:241 pages, XIII, 241 p.
- Publisher:Palgrave Macmillan
- Publication Date:29/05/2014
- Category:
- ISBN:9781137374653
Other Formats
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- Paperback / softback from £52.99
Information
-
Item not Available
- Format:Hardback
- Pages:241 pages, XIII, 241 p.
- Publisher:Palgrave Macmillan
- Publication Date:29/05/2014
- Category:
- ISBN:9781137374653