Interest Rate Modelling in the Multi-Curve Framework
M. Henrard
Palgrave Macmillan, 2014
79,75 €On orderDelivery: 2-3 weeks
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.
- ISBN-13
- 9781349477043
- ISBN-10
- 1349477044
- Publisher
- Palgrave Macmillan
- Year
- 2014
- Publication date
- 2014-01-01
- Pages
- 241
- Dimensions
- 235x155x