Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation - M. Henrard
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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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Kirjeldus
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.
Lisateave
| Autor | M. Henrard |
|---|---|
| Kirjastaja | Palgrave MacMillan UK |
| Väljalaskeaasta | 2014 |
| Kaanetüüp | Kõvakaaneline |
| EAN | 9781137374653 |