Interest rate modelling in the multi-curve framework : foundations, evolution and implementation
tarafından
 
Henrard, Marc, 1968- author

Başlık
: 
Interest rate modelling in the multi-curve framework : foundations, evolution and implementation

Yazar
: 
Henrard, Marc, 1968- author

ISBN
: 
9781137374653

Yazar Ek Girişi
: 
Henrard, Marc, 1968- author

Fiziksel Tanımlama
: 
xii, 241 pages : illustrations ; 24 cm.

Seri
: 
Applied quantitative finance
 
Applied quantitative finance.

İçerik
: 
1. Introduction 2. The Multi-Curve Framework Foundations 3. Variation on a Theme 4. Interpolation 5. Curve Calibration 6. More Instruments 7. Options and Spread Modelling 8. Collateral and Funding Appendix A. Gaussian HJM Appendix B. Conventions Appendix C. Implementation in a Library.

Özet
: 
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.

Konu Başlığı
: 
Interest rates -- Mathematical models.
 
Faiz oranları -- Matematiksel modeller.


LibraryMateryal TürüDemirbaşYer NumarasıDurumu / Lokasyon / İade Tarihi
Ekonomi KütüphanesiKitapEKOBKN0001518332.8015118 HEN 2014Merkez Kütüphane Genel Koleksiyon