Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and

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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 (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.

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2014-9-1 10:09:41 上传

Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation
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• 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！

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关键词：Foundations foundation Evolution Framework Modelling literature sufficient academics following represent

Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and

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lampost 发表于 2014-9-1 11:48
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