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Interest Rate Modelling in the Multi-Curve Framework
Marc Henrard
€ 82.92
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Description for Interest Rate Modelling in the Multi-Curve Framework
Paperback. 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. Series: Applied Quantitative Finance. Num Pages: 241 pages, biography. BIC Classification: KFF; KFFH; KFFM; KJM. Category: (G) General (US: Trade). Dimension: 235 x 155 x 14. Weight in Grams: 397.
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.
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.
Product Details
Format
Paperback
Publication date
2014
Publisher
Palgrave Macmillan United Kingdom
Number of pages
241
Condition
New
Series
Applied Quantitative Finance
Number of Pages
241
Place of Publication
Basingstoke, United Kingdom
ISBN
9781349477043
SKU
V9781349477043
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Marc Henrard
Marc Henrard is Head of Quantitative Research and a member of the Executive Committee at OpenGamma, a risk management technology firm founded in 2009. Marc is also an Honorary Senior Lecturer at University College London where he teaches a course on interest rate modelling. He has over 15 years' experience in finance, including senior positions in risk management, trading, and ... Read more
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