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Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation - Applied Quantitative Finance M. Henrard 1st ed. 2014 edition
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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.
241 pages, XIII, 241 p.
| Médias | Livres Paperback Book (Livre avec couverture souple et dos collé) |
| Validé | 2014 |
| ISBN13 | 9781349477043 |
| Éditeurs | Palgrave Macmillan |
| Pages | 241 |
| Dimensions | 150 × 220 × 10 mm · 362 g |
| Langue et grammaire | Anglais |
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