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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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- Series: Applied Quantitative Finance
- Hardcover: 241 pages
- Publisher: Palgrave Macmillan; 2014 edition (May 29, 2014)
- Language: English
- ISBN-10: 1137374659
- ISBN-13: 978-1137374653
- Product Dimensions: 6.1 x 0.6 x 9.2 inches
- Shipping Weight: 1.2 pounds
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