Interest Rate Modelling In The Multi Curve Framework

Download or read book Interest Rate Modelling in the Multi-Curve Framework written by M. Henrard and published by Springer. This book was released on 2014-05-29 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.