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Cover image for book Interest Rate Modelling in the Multi-Curve Framework

Interest Rate Modelling in the Multi-Curve Framework

Foundations, Evolution and Implementation
By:M. Henrard
Publisher:Springer Nature
Print ISBN:9781137374653
eText ISBN:9781137374660
Edition:0
Copyright:2014
Format:Reflowable

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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.