Interest Rate Modelling in the Mult - E-book

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Interest Rate Modelling In The Multi-curve Framework - ENG

Foundations, Evolution And Implementation

M. Henrard

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Sinopsis

ISBN:	9781137374660
Formato:	ePub
Idioma:	Inglés
Editorial:	Springer Nature
Tema:	Negocios y economía
Subtema:	Finanzas Corporativas general
Año de publicación:	2014-05-29

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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