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Interest Rate Modelling in the Multi-Curve Framework
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Interest Rate Modelling in the Multi-Curve Framework

Foundations, Evolution and Implementation
Buch (gebunden)ca. 117.00 CHF
lieferbar in ca. 20-45 Arbeitstagen

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.

Mai 2014, ca. 241 Seiten, Applied Quantitative Finance, Englisch
Springer EN
978-1-137-37465-3

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