Interest Rate Modelling in the Multi-Curve Framework

Interest Rate Modelling in the Multi-Curve Framework portes grátis

Interest Rate Modelling in the Multi-Curve Framework

Foundations, Evolution, Transition, and Implementation

Henrard, Marc

Springer Nature Switzerland AG

04/2026

383

Dura

Inglês

9783032026842

Pré-lançamento - envio 15 a 20 dias após a sua edição

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Chapter 1. Introduction.- Chapter 2. Collateral Framework.- Chapter 3. Benchmarks and the Multi-curve Framework Foundations.- Chapter 4. Curve calibration and Interpolation.- Chapter 5. Curve modelling.- Chapter 6. Transition.- Chapter 7. More instruments.- Chapter 8. Risk management.

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Interest rate modelling;multi-curve framework;collateral;risk management;curve calibration;basis spread;convexity adjustment;financial crisis;foundation;funding;interest;modeling;Options;investments and securities;Multi-curve and collateral framework practical implementation