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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
| Media | Boeken Hardcover Book (Boek met harde rug en kaft) |
| Vrijgegeven | 29 mei 2014 |
| ISBN13 | 9781137374653 |
| Uitgevers | Palgrave Macmillan |
| Pagina's | 241 |
| Afmetingen | 242 × 164 × 21 mm · 544 g |
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