Interest Rate Modelling in the Multi-Curve Framework Foundations, Evolution and Implementation
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.
Keywords
Business & EconomicsFinanceFinancial EngineeringIndustriesFinancial ServicesCorporate FinanceFinancial Risk ManagementInvestments & SecuritiesManagementMathematicsGame Theory
2014Book
Author(s)M. Henrard
PublisherPalgrave Macmillan UK
ISBN9781137374653
LanguageEnglish
