Applied Quantitative Finance: Foundations, Evolution and Implementation

Henrard, M.

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.

Details

Published by: Palgrave Macmillan

Publication Date: 2014-05-29

Format: Hardcover

ISBN-13: 9781137374653

DOI: 10.1057/9781137374660

Dimensions: 235cm x155cm

Pages: 241