Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation (Applied Quantitative Finance)
ISBN-13:
9781137374653
ISBN-10:
1137374659
Edition:
2014
Author:
M. Henrard
Publication date:
2014
Publisher:
Springer
Format:
Hardcover
254 pages
FREE US shipping
Book details
ISBN-13:
9781137374653
ISBN-10:
1137374659
Edition:
2014
Author:
M. Henrard
Publication date:
2014
Publisher:
Springer
Format:
Hardcover
254 pages
Summary
Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation (Applied Quantitative Finance) (ISBN-13: 9781137374653 and ISBN-10: 1137374659), written by authors
M. Henrard, was published by Springer in 2014.
With an overall rating of 3.9 stars, it's a notable title among other
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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.
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