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Interest Rate Modelling in the Multi-Curve Framework
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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.
- Undertittel
- Foundations, Evolution and Implementation
- Forfatter
- M. Henrard
- ISBN
- 9781137374660
- Språk
- Engelsk
- Utgivelsesdato
- 29.5.2014
- Forlag
- Palgrave MacMillan UK
- Tilgjengelige elektroniske format
- PDF - Adobe DRM
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- E-bokleser i mobil/nettbrett
- Lesebrett
- Datamaskin
