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Interest rate modelling in the multi-curve framework

by M. Henrard | 29 May 2014
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.
€83.99
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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.
Currently out of stock
Delivery 5-7 Days
Eligible for free delivery
251 Reward Points

Any purchases for more than €10 are eligible for free delivery anywhere in the UK or Ireland!

€83.99
Currently out of stock
Delivery 5-7 Days
Eligible for free delivery
251 Reward Points

Any purchases for more than €10 are eligible for free delivery anywhere in the UK or Ireland!

Product Description

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

Interest rate modelling in the multi-curve framework

ISBN9781137374653

Format

Publisher (29 May. 2014)

No. of Pages0

Weight538

Language English (United States)

Dimensions 235 x 155 x 20