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Interest rate modelling in the multi-curve framework foundations, evolution and implementation /

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 coll...

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Bibliographic Details
Main Authors: Henrard, Marc, 1968-
Published:
Literature type: Electronic Software eBook
Language: English
Subjects:
Interest rates > Mathematical models.
Investment & securities.
Corporate Finance.
Finance and Accounting.
Online Access: http://www.palgraveconnect.com/doifinder/10.1057/9781137374660
Summary: 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.
Item Description: Electronic book text.
Epublication based on: 9781137374653, 2014.
Carrier Form: 264 p. : 24 figures, 35.
ISBN: 9781137374660 :
1137374667 :
CLC: F830.9
Contents: 1. Introduction 2. The Multi-Curve Framework Foundations 3. Variation on a Theme 4. Interpolation 5. Curve Calibration 6. More Instruments 7. Options and Spread Modelling 8. Collateral and Funding Appendix A. Gaussian HJM Appendix B. Conventions Appendix C. Implementation in a Library.

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