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

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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.

Product Details

  • Series: Applied Quantitative Finance
  • Hardcover: 264 pages
  • Publisher: Palgrave Macmillan; 2014 edition (May 29, 2014)
  • Language: English
  • ISBN-10: 1137374659
  • ISBN-13: 978-1137374653
  • Product Dimensions: 6.3 x 0.9 x 9.5 inches
  • Shipping Weight: 1.2 pounds
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