书目名称 | Interest Rate Modelling in the Multi-Curve Framework |
副标题 | Foundations, Evoluti |
编辑 | Marc Henrard |
视频video | http://file.papertrans.cn/471/470902/470902.mp4 |
概述 | Discusses Algorithmic Differentiation specifically applied to finance.Provides guidance on theory and the practical application to financial markets.Offers working code for testing and analysis |
丛书名称 | Applied Quantitative Finance |
图书封面 |  |
描述 | 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. |
出版日期 | Book 2014 |
关键词 | Interest rate modelling; multi-curve framework; collateral; risk management; curve calibration; basis spr |
版次 | 1 |
doi | https://doi.org/10.1057/9781137374660 |
isbn_softcover | 978-1-349-47704-3 |
isbn_ebook | 978-1-137-37466-0Series ISSN 2947-700X Series E-ISSN 2947-7018 |
issn_series | 2947-700X |
copyright | Palgrave Macmillan, a division of Macmillan Publishers Limited 2014 |