Interest rate modelling in the multi-curve framework

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

by Henrard, Marc

Type Book
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Interest rate modelling has undergone significant change in the last five years following the financial crisis. No longer is a single yield curve sufficient in representing real world markets. Instead, practitioners and academics are now using multi-curve frameworks, which more accurately represent current market conditions. Serving as a practical reference for academics and practitioners alike, this book details all the foundations of this new approach, focusing on recent developments (2007-13…

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Title Statements

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

Summary

Interest rate modelling has undergone significant change in the last five years following the financial crisis. No longer is a single yield curve sufficient in representing real world markets. Instead, practitioners and academics are now using multi-curve frameworks, which more accurately represent current market conditions. Serving as a practical reference for academics and practitioners alike, this book details all the foundations of this new approach, focusing on recent developments (2007-13) and the impact of multi-curve models. It then develops the impact of those new building blocks on the more advanced term structure models. In an extended chapter, a unified multi-curve and collateral framework is presented. Written by one of the founding fathers of the multi-curve framework, the book is written specifically for practitioners using the framework in banks, hedge funds and clearing houses. --

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Edition Statements

  • Publication Date:2014.

Publication Statements

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

Notes

Titre de l'écran-titre (visionné le 23 mars 2016).

TRAITEMENT SOMMAIRE.

The Physical Object

  • Description:1 ressource en ligne (241 p.).

Edition Identifiers

  • ISBN:9781137374677, 1137374675
  • oclc:ocn945649248
  • LC Classification:HG1621
  • Dewey Decimal:332.8015118

Table of Contents

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.

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Subjects

e-books Interest rates -- mathematical models Livres électroniques Livres numériques Taux d'intérêt -- Modèles mathématiques

Writers

Henrard, Marc

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