Interest rate modelling in the multi-curve framework: foundations, evolution and implementation
Auteur :
Henrard, M.
Éditeur :
Palgrave Macmillan
ISBN :
9781349477043
Date de publication :
1 janv. 2014
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Grande Bretagne
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.