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Interest Rate Modelling In The Multi-Curve Framework

Foundations, Evolution And Implementation

by M. Henrard
language: english
Publisher: Palgrave Macmillan, January of 2014 ‧
74,34€
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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.

Interest Rate Modelling In The Multi-Curve Framework

Foundations, Evolution And Implementation

by M. Henrard

Property Description
ISBN: 9781349477043
Publisher: Palgrave Macmillan
Release Date: January of 2014
Language: English
Dimensions: 155 x 235 x 20 mm
Cover: Softcover
Pages: 241
Format: Book
Collection: Applied Quantitative Finance
Categories: Books in English > Economics, Finance and Accounting > Finances
Books in English > Management > Management and Organization
EAN: 9781349477043

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