About this product

Product Identifiers

PublisherPalgrave Macmillan The Limited

ISBN-101137374659

ISBN-139781137374653

eBay Product ID (ePID)201605104

Product Key Features

Number of PagesXiii, 241 Pages

LanguageEnglish

Publication NameInterest Rate Modelling in the Multi-Curve Framework : Foundations, Evolution and Implementation

SubjectInterest, Finance / Financial Engineering, Industries / Financial Services, Corporate Finance / General

Publication Year2014

TypeTextbook

AuthorMarc Henrard

Subject AreaBusiness & Economics

SeriesApplied Quantitative Finance Ser.

FormatHardcover

Dimensions

Item Height0.9 in

Item Weight19 Oz

Item Length9.5 in

Item Width6.3 in

Additional Product Features

Intended AudienceScholarly & Professional

LCCN2013-427545

Dewey Edition23

Number of Volumes1 vol.

IllustratedYes

Dewey Decimal332.8015118

Table Of Content1. Introduction 2. The Multi-Curve Framework Foundations 3. Variation on a Theme 4. Interpolation 5. Curve Calibration 6. More Instruments 7. Options and Spread Modelling 8. Collateral and Funding Appendix A. Gaussian HJM Appendix B. Conventions Appendix C. Implementation in a Library

SynopsisInterest rate modelling has undergone significant change in the last five years following the financial crisis. No longer is a single yield curve sufficient in representing real world markets. Instead, practitioners and academics are now using multi-curve frameworks, which more accurately represent current market conditions. A complete review of the models used in academic literature and by practitioners has taken place, and millions of dollars have been spent worldwide on revising basic concepts and redeveloping models and systems in the world's leading banks, hedge funds and insurance companies. Serving as a practical reference for academics and practitioners alike, this book details all the foundations of this new approach, focusing on recent developments (2007-13) and the impact of multi-curve models. It analyses the impact on the interaction between the curves, how market instruments liquidity and conventions force curves that are a lot more than simply a multiplication of single curves. It then develops the impact of those new building blocks on the more advanced term structure models. In an extended chapter, a unified multi-curve and collateral framework is presented. It also covers the impact on implementation in IT libraries, describing the various issues and providing examples of coherent production-grade library implementation. Written by one of the founding fathers of the multi-curve framework - experienced practitioner and researcher Marc Henrard - the book is written specifically for practitioners using the framework in banks, hedge funds and clearing houses from a trading, risk management and modelling perspective. With this book in hand, the reader should be able to develop a multi-curve framework in a bank or hedge fund including all the practical aspects., 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.

LC Classification NumberHG176.7