Serving as a practical reference for academics and practitioners alike, this book details all the foundations of this new approach, focusing on recent developments (2007–13) 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 – experienced practitioner and researcher Marc Henrard – 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.
本帖隐藏的内容
- Series: Applied Quantitative Finance
- Hardcover: 264 pages
- Publisher: Palgrave Macmillan (June 26, 2014)
- Language: English
- ISBN-10: 1137374659
- ISBN-13: 978-1137374653
- Product Dimensions: 9.4 x 6.4 x 0.9 inches
- Shipping Weight: 1.2 pounds
- http://www.amazon.com/Interest-Rate-Modelling-Multi-Curve-Framework/dp/1137374659/ref=sr_1_1?ie=UTF8&qid=1409535744&sr=8-1&keywords=Interest+Rate+Modelling+in+the+Multi-Curve+Framework%3A+Foundations%2C+Evolution+and+Implementation
提示:这个附件从36页跳转到87页,为缺失的部分内容。原版书籍为264页,此附件为206页!