| Document Type
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BL
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| Record Number
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718940
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| Doc. No
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b538631
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| Main Entry
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Marc Henrard.
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| Title & Author
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Interest rate modelling in the multi-curve framework : : foundations, evolution and implementation\ Marc Henrard.
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| Publication Statement
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[Basingstoke]: Palgrave Macmillan, 2014
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| Series Statement
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Applied quantitative finance.
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| ISBN
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1137374667
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: 1137374675
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: 1349477044
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: 9781137374660
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: 9781137374677
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: 9781349477043
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| Contents
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1. Introduction --;2. The Multi-Curve Framework Foundations --;3. Variation on a Theme --;4. Interpolation --;5. Curve Calibration --;6. More Instruments --;7. Options and Spread Modelling --;8. Collateral and Funding --;Appendix A. Gaussian HJM --;Appendix B. Conventions --;Appendix C. Implementation in a Library.
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| Abstract
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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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| Subject
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BUSINESS ECONOMICS -- Finance.
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| Subject
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Corporate finance.
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| Subject
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Interest rates -- Mathematical models.
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| LC Classification
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HG1621.M373 2014
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| Added Entry
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Marc Henrard
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