Interest Rate Modelling in the Multi-Curve Framework
Foundations, Evolution and Implementation
1st Edition
Published on 29. May 2014
XIII, 241 pages
978-1-137-37466-0 (ISBN)
Description
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.
More details
Series
Language
English
Place of publication
London
United Kingdom
Publishing group
Palgrave Macmillan UK
Target group
Professional and scholarly
Product notice
Reflowable
Illustrations
XIII, 241 p.
File size
2,53 MB
ISBN-13
978-1-137-37466-0 (9781137374660)
DOI
10.1057/9781137374660
Schweitzer Classification
Other editions
Additional editions
M. Henrard
Interest Rate Modelling in the Multi-Curve Framework
Foundations, Evolution and Implementation
Book
05/2014
Palgrave Macmillan
€90.94
Shipment within 10-20 days
M. Henrard
Interest Rate Modelling in the Multi-Curve Framework
Foundations, Evolution and Implementation
Book
01/2014
Palgrave Macmillan
€69.54
Shipment within 15-20 days
Person
Marc Henrard is Head of Quantitative Research and a member of the Executive Committee at OpenGamma, a risk management technology firm founded in 2009. Marc is also an Honorary Senior Lecturer at University College London where he teaches a course on interest rate modelling. He has over 15 years' experience in finance, including senior positions in risk management, trading, and quantitative research. Prior to joining OpenGamma, Marc was in charge of researching and implementing interest rate models as the Global Head of Interest Rate Modelling for the Dexia Group. Previously he held various management positions at the Bank for International Settlements as Deputy Head of Treasury Risk, Deputy Head of Interest Rate Trading and Head of Quantitative Research. Marc holds a PhD in Mathematics from the University of Louvain, Belgium. Prior to his career in finance he was a research scientist and university lecturer for 8 years.
Marc's research focuses on interest rate modelling and riskmanagement. He publishes on a regular basis in international finance journals and is a regular speaker at practitioner and academic conferences.
Marc's research focuses on interest rate modelling and riskmanagement. He publishes on a regular basis in international finance journals and is a regular speaker at practitioner and academic conferences.
Content
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
