Titlebook: Interest Rate Modelling in the Multi-Curve Framework; Foundations, Evoluti Marc Henrard Book 2014 Palgrave Macmillan, a division of Macmill

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Book 2014Following 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.

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https://doi.org/10.1057/9781137374660Interest rate modelling; multi-curve framework; collateral; risk management; curve calibration; basis spr

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The Multi-curve Framework Foundations,We start this chapter with a description of some of the one-curve framework pricing formulas. They are important from an historical point of view but also because they explain the evolution of the multi-curve framework, and where its formulas and definitions come from. Chapter 3 proposes different implementations of the framework described here.

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978-1-349-47704-3Palgrave Macmillan, a division of Macmillan Publishers Limited 2014

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