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.
Library | Materyal Türü | Demirbaş | Yer Numarası | Durumu / Lokasyon / İade Tarihi |
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Ekonomi Kütüphanesi | Kitap | EKOBKN0001518 | 332.8015118 HEN 2014 | Merkez Kütüphane Genel Koleksiyon |