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Interest Rate Modelling in the Multi-Curve Framework
M. Henrard
其他書名
Foundations, Evolution and Implementation
出版Springer, 2014-05-29
主題Business & Economics / Finance / Financial EngineeringBusiness & Economics / Investments & Securities / GeneralBusiness & Economics / Corporate Finance / GeneralBusiness & Economics / Insurance / Risk Assessment & ManagementBusiness & Economics / Finance / GeneralBusiness & Economics / Management
ISBN11373746679781137374660
URLhttp://books.google.com.hk/books?id=ujftAwAAQBAJ&hl=&source=gbs_api
EBookSAMPLE
註釋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.