(Read and download) Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation (Applied Quantitative Finance)






 | #1196792 in eBooks |  2014-05-29 |  2014-05-29 | File Name: B00LER20HO

||About the Author|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 cour

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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