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

by Marc Henrard

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.

257 pages, Kindle Edition

First published May 29, 2014