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Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation (Applied Quantitative Finance)


Super Savings Item! Free Shipping Included! Save 36% on the Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation (Applied Quantitative Finance) by Palgrave Macmillan at HYIP Offer. Hurry! Limited time offer. Offer valid only while supplies last. Interest rate modelling has undergone significant change in the last five years following the financial crisis. No longer is a single yield curve


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Interest rate modelling has undergone significant change in the last five years following the financial crisis. No longer is a single yield curve sufficient in representing real world markets. Instead, practitioners and academics are now using multi-curve frameworks, which more accurately represent current market conditions. A complete review of the models used in academic literature and by practitioners has taken place, and millions of dollars have been spent worldwide on revising basic concepts and redeveloping models and systems in the world's leading banks, hedge funds and insurance companies.

Serving as a practical reference for academics and practitioners alike, this book details all the foundations of this new approach, focusing on recent developments (2007โ€“13) and the impact of multi-curve models. It analyses the impact on the interaction between the curves, how market instruments liquidity and conventions force curves that are a lot more than simply a multiplication of single curves. It then develops the impact of those new building blocks on the more advanced term structure models. In an extended chapter, a unified multi-curve and collateral framework is presented. It also covers the impact on implementation in IT libraries, describing the various issues and providing examples of coherent production-grade library implementation.

Written by one of the founding fathers of the multi-curve framework โ€“ experienced practitioner and researcher Marc Henrard โ€“ the book is written specifically for practitioners using the framework in banks, hedge funds and clearing houses from a trading, risk management and modelling perspective. With this book in hand, the reader should be able to develop a multi-curve framework in a bank or hedge fund including all the practical aspects.

Additional Information

Manufacturer:Palgrave Macmillan
Publisher:Palgrave Macmillan
Studio:Palgrave Macmillan
EAN:9781137374653
Item Size:0.87 x 9.52 x 9.52 inches
Package Weight:1.23 pounds
Package Size:6.38 x 0.94 x 0.94 inches

Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation (Applied Quantitative Finance) by Palgrave Macmillan

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Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation (Applied Quantitative Finance)

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