Interest Rate Modelling in the Multi-Curve Framework

Interest Rate Modelling in the Multi-Curve Framework

M. Henrard

48,01 €
IVA incluido
Disponible
Editorial:
Springer Nature B.V.
Año de edición:
2014
ISBN:
9781349477036
48,01 €
IVA incluido
Disponible

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Sobre IBD

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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  • Interest Rate Modelling in the Multi-Curve Framework
    M. Henrard
    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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