M. Henrard
Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation - Applied Quantitative Finance M. Henrard 1st ed. 2014 edition

Name: Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation - Applied Quantitative Finance
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Author: M. Henrard

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

M. Henrard

1st ed. 2014 edition

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.

241 pages, XIII, 241 p.

メディア	書籍 Paperback Book (ソフトカバーで背表紙を接着した本)
リリース済み	2014
ISBN13	9781349477043
出版社	Palgrave Macmillan
ページ数	241
寸法	150 × 220 × 10 mm · 362 g
言語	英語