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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.
- Format: Pocket/Paperback
- ISBN: 9781349477043
- Språk: Engelska
- Antal sidor: 241
- Utgivningsdatum: 2014-01-01
- Förlag: Palgrave Macmillan