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

M. Henrard




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 | #1372463 in eBooks |  2014-05-29 |  2014-05-29 | File type: PDF

||About the Author|Marc Henrard is Head of Quantitative Research and a member of the Executive Committee at OpenGamma, a risk management technology firm founded in 2009. Marc is also an Honorary Senior Lecturer at University College London where he teaches a cours

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.



You can specify the type of files you want, for your device.Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation (Applied Quantitative Finance)   |  M. Henrard. I have read it a couple of times and even shared with my family members. Really good. Couldnt put it down.

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