Interest rate modelling in the multi-curve framework

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

by Henrard, Marc

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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. "Cover"--"Half-title" -- "Title" -- "Copyright" -- "Contents" -- "List of figures" -- "List of tables" -- "Preface" -- "1 Introduction" -- "1.1 9 August 2007…

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Title Statements

  • Full title :Interest rate modelling in the multi-curve framework : foundations, evolution and implementation / Marc Henrard.

Summary

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.

"Cover"--"Half-title" -- "Title" -- "Copyright" -- "Contents" -- "List of figures" -- "List of tables" -- "Preface" -- "1 Introduction" -- "1.1 9 August 2007" -- "1.2 Foundations, evolution, and implementation" -- "1.3 Standard textbook framework" -- "1.4 The precursors" -- "1.5 Earlymulti-curve framework literature" -- "1.6 Collateral and funding" -- "1.7 Howto read this book" -- "1.8 What is not in this book" -- "2 TheMulti-curve Framework Foundations" -- "2.1 One-curveworld" -- "2.2 Discounting curve" -- "2.3 Forward curves" -- "2.4 Interest rate swap" -- "2.5 Forward rate agreement" -- "2.6 STIRFutures" -- "2.7 Overnight indexed swaps" -- "2.8 Forex and cross-currency swaps" -- "3 Variation on a Theme" -- "3.1 Forward curves through pseudo-discount factors" -- "3.2 Direct forward curves" -- "3.3 Futuresmulti-curve framework" -- "4 Interpolation" -- "4.1 What to interpolate?" -- "4.2 Impact of interpolation" -- "5 Curve Calibration" -- "5.1 Introduction" -- "5.2 What to calibrate?" -- "5.3 Calibration" -- "5.4 Discounting curve" -- "5.5 Index fixing" -- "5.6 Root-finding and Jacobian" -- "5.7 Instruments and curve entanglement" -- "5.8 Currency dependency" -- "5.9 Spread curves" -- "5.10 Functional curves" -- "5.11 Interpolation on externally provided dates" -- "5.12 Combining several effects" -- "5.13 Examples of standard curves" -- "6 MoreInstruments" -- "6.1 Overnight indexed swaps" -- "6.2 Ibor couponswith datemismatches" -- "6.3 Compounded coupons" -- "6.4 Federal Funds swaps" -- "6.5 Federal Funds futures" -- "6.6 Deliverable swaps futures" -- "6.7 Portfolio hedging" -- "7 Options and SpreadModelling" -- "7.1 Short ratemodels" -- "7.2 Spreads description" -- "7.3 Constantmultiplicative spread" -- "7.4 Ibor forward ratemodelling" -- "7.5 Swap ratemodelling" -- "7.6 ParsimoniousHJMmulti-curve framework."

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Edition Statements

  • Publication Date:2014.

Publication Statements

  • Publisher(s):Palgrave Macmillan
  • Place of Publication:Basingstoke
  • Language:eng
  • Publication Date:2014.

Notes

Electronic book text.

Epublication based on: 9781137374653, 2014.

The Physical Object

  • Description:Online-Ressource

Edition Identifiers

  • ISBN:9781137374653, 1137374659, 9781137374660, 1137374667, 9781137374677, 1137374675
  • DOI:10.1057/9781137374660
  • oclc:ocn895650764
  • Dewey Decimal:332.8

Subjects

Interest rates -- mathematical models Online-Publikation Taux d'intérêt -- Modèles mathématiques

Writers

Henrard, Marc

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