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Interest Rate Modelling in the Multi-Curve Framework

Foundations, Evolution and Implementation

Language EnglishEnglish
Book Paperback
Book Interest Rate Modelling in the Multi-Curve Framework Marc Henrard
Libristo code: 12044753
Publishers Palgrave Macmillan, January 2014
Following the financial crisis dramatic market changes, a new standard in interest rate modelling em... Full description
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69.51 €
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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.

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About the book

Full name Interest Rate Modelling in the Multi-Curve Framework
Author Marc Henrard
Language English
Binding Book - Paperback
Date of issue 2014
Number of pages 241
EAN 9781349477043
ISBN 1349477044
Libristo code 12044753
Publishers Palgrave Macmillan
Weight 3927
Dimensions 155 x 235 x 15

Categories

Economics, Finance, Business & Management > Finance & accounting > Finance > Corporate finance
Economics, Finance, Business & Management > Finance & accounting > Finance > Investment & securities
Economics, Finance, Business & Management > Business & Management > Management & management techniques
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