Interest Rate Modelling in the Multi-Curve Framework
Autor: | M. Henrard |
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EAN: | 9781137374660 |
eBook Format: | |
Sprache: | Englisch |
Produktart: | eBook |
Veröffentlichungsdatum: | 29.05.2014 |
Untertitel: | Foundations, Evolution and Implementation |
Kategorie: | |
Schlagworte: | Interest rate modelling basis spread collateral convexity adjustment curve calibration multi-curve framework risk management |
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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.