Interest Rate Modelling in the Multi-Curve Framework : Foundations, Evolution and Implementation PDF
by M. Henrard
Part of the Applied Quantitative Finance series
- Information
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
-
Download Now
- Format:PDF
- Publisher:Palgrave Macmillan UK
- Publication Date:29/05/2014
- Category:
- ISBN:9781137374660
Information
-
Download Now
- Format:PDF
- Publisher:Palgrave Macmillan UK
- Publication Date:29/05/2014
- Category:
- ISBN:9781137374660
