Compare Interest Rate Modelling in the Multi-Curve Framework by M. Henrard, Hardcover | Indigo Chapters

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. | Interest Rate Modelling in the Multi-Curve Framework by M. Henrard, Hardcover | Indigo Chapters