Interest Rate Modelling in the Multi-Curve Framework
Foundations, Evolution and Implementation
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Beschreibung
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.
Discusses Algorithmic Differentiation specifically applied to finance Provides guidance on theory and the practical application to financial markets Offers working code for testing and analysis
Autor*in
M. Henrard
Themen in »Interest Rate Modelling in the Multi-Curve Framework«
Interest rate modelling multi-curve framework collateral risk management curve calibration basis spread convexity adjustment financial crisis foundation funding interest modeling Options investments and securities