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

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

Paperback

Series: Applied Quantitative Finance

Business GeneralInvesting & Finance

Currently unavailable to order

ISBN10: 1349477044
ISBN13: 9781349477043
Publisher: Springer Nature
Published: Jan 1 2014
Pages: 241
Weight: 0.80
Height: 0.54 Width: 6.14 Depth: 9.21
Language: English
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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