Interest Rate Modelling in the Multi-Curve Framework (Innbundet)

Foundations, Evolution and Implementation

Serie: Applied Quantitative Finance 

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Forfatter:
Innbinding: Innbundet
Utgivelsesår: 2014
Antall sider: 254
Forlag: Palgrave Macmillan
Språk: Engelsk
Serie: Applied Quantitative Finance
ISBN/EAN: 9781137374653
Kategori: Økonomi og ledelse
Omtale: Interest Rate Modelling in the Multi-Curve Framework
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.

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