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Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution, Transition, and Implementation - Couverture rigide
Livre 14 sur 14: Applied Quantitative Finance
Synopsis
A new standard in interest rate modelling, called the multi-curve framework, emerged after the financial crisis. The framework covers two important market features: the collateralisation of derivative trades and the spread between different rate benchmarks. This book starts from the collateral mechanisms and builds the full framework from the foundations through all the technical and financial details. It kicks off with the collateral discounting in all its variants: domestic cash, foreign cash, or other assets and then introduces the different benchmarks and their associated spreads. Following the discontinuation of certain benchmarks, part of the book is dedicated to the transition and the emergence of the overnight benchmark dominance in certain currencies. Based on the theoretical framework of the first chapters, the important curve calibration mechanism is analysed in detail. Many instruments are investigated with all their practical peculiarities. Most of the book is dedicated to the understanding of the “static” interest rate curves. The book’s last part deals with the building blocks of any dynamic model explaining their future behaviour and apply some of those models to the most liquid instruments. Based on more than 25 years of experience as a trader and quantitative analyst in the related markets, the author includes many details on implementation in libraries and using the framework in risk management, which will be of interest to traders, risk managers, quantitative analysts, and actuaries alongside professors, researchers, and students of banking, insurance, risk management, and quantitative finance.
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Interest Rate Modelling in the Multi-Curve Framework (eng)
Edité par
Palgrave Macmillan, 2026
ISBN 10 : 3032026849
ISBN 13 : 9783032026842
Neuf
Couverture rigide
Vendeur : Brook Bookstore On Demand, Napoli, NA, Italie
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Interest Rate Modelling in the Multi-Curve Framework
Edité par
Springer Nature Switzerland, 2026
ISBN 10 : 3032026849
ISBN 13 : 9783032026842
Neuf
Couverture rigide
Vendeur : PBShop.store UK, Fairford, GLOS, Royaume-Uni
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HRD. Etat : New. New Book. Shipped from UK. Established seller since 2000. N° de réf. du vendeur GB-9783032026842
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Interest Rate Modelling in the Multi-Curve Framework (Hardcover)
Edité par
Springer Nature Switzerland AG, 2026
ISBN 10 : 3032026849
ISBN 13 : 9783032026842
Neuf
Couverture rigide
Vendeur : Grand Eagle Retail, Bensenville, IL, Etats-Unis
Évaluation du vendeur 5 sur 5 étoiles
Hardcover. Etat : new. Hardcover. A new standard in interest rate modelling, called the multi-curve framework, emerged after the financial crisis. The framework covers two important market features: the collateralisation of derivative trades and the spread between different rate benchmarks. This book starts from the collateral mechanisms and builds the full framework from the foundations through all the technical and financial details. It kicks off with the collateral discounting in all its variants: domestic cash, foreign cash, or other assets and then introduces the different benchmarks and their associated spreads. Following the discontinuation of certain benchmarks, part of the book is dedicated to the transition and the emergence of the overnight benchmark dominance in certain currencies. Based on the theoretical framework of the first chapters, the important curve calibration mechanism is analysed in detail. Many instruments are investigated with all their practical peculiarities. Most of the book is dedicated to the understanding of the static interest rate curves. The books last part deals with the building blocks of any dynamic model explaining their future behaviour and apply some of those models to the most liquid instruments. Based on more than 25 years of experience as a trader and quantitative analyst in the related markets, the author includes many details on implementation in libraries and using the framework in risk management, which will be of interest to traders, risk managers, quantitative analysts, and actuaries alongside professors, researchers, and students of banking, insurance, risk management, and quantitative finance. This item is printed on demand. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. N° de réf. du vendeur 9783032026842
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Interest Rate Modelling in the Multi-Curve Framework
Edité par
Springer-Verlag Gmbh Sep 2026, 2026
ISBN 10 : 3032026849
ISBN 13 : 9783032026842
Neuf
Couverture rigide
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Buch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -A new standard in interest rate modelling, called the multi-curve framework, emerged after the financial crisis. The framework covers two important market features: the collateralisation of derivative trades and the spread between different rate benchmarks. This book starts from the collateral mechanisms and builds the full framework from the foundations through all the technical and financial details. It kicks off with the collateral discounting in all its variants: domestic cash, foreign cash, or other assets and then introduces the different benchmarks and their associated spreads. Following the discontinuation of certain benchmarks, part of the book is dedicated to the transition and the emergence of the overnight benchmark dominance in certain currencies. Based on the theoretical framework of the first chapters, the important curve calibration mechanism is analysed in detail. Many instruments are investigated with all their practical peculiarities. Most of the book is dedicated to the understanding of the static interest rate curves. The book s last part deals with the building blocks of any dynamic model explaining their future behaviour and apply some of those models to the most liquid instruments. Based on more than 25 years of experience as a trader and quantitative analyst in the related markets, the author includes many details on implementation in libraries and using the framework in risk management, which will be of interest to traders, risk managers,quantitative analysts, and actuaries alongside professors, researchers, and students of banking, insurance, risk management, and quantitative finance. 381 pp. Englisch. N° de réf. du vendeur 9783032026842
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Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution, Transition, and Implementation (Applied Quantitative Finance)
Edité par
Palgrave Macmillan, 2026
ISBN 10 : 3032026849
ISBN 13 : 9783032026842
Neuf
Couverture rigide
Vendeur : California Books, Miami, FL, Etats-Unis
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Etat : New. N° de réf. du vendeur I-9783032026842
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Interest Rate Modelling in the Multi-Curve Framework
Edité par
Springer Nature Switzerland AG, CH, 2026
ISBN 10 : 3032026849
ISBN 13 : 9783032026842
Neuf
Couverture rigide
Vendeur : Rarewaves.com USA, London, LONDO, Royaume-Uni
Évaluation du vendeur 5 sur 5 étoiles
Hardback. Etat : New. Second Edition 2026. A new standard in interest rate modelling, called the multi-curve framework, emerged after the financial crisis. The framework covers two important market features: the collateralisation of derivative trades and the spread between different rate benchmarks. This book starts from the collateral mechanisms and builds the full framework from the foundations through all the technical and financial details. It kicks off with the collateral discounting in all its variants: domestic cash, foreign cash, or other assets and then introduces the different benchmarks and their associated spreads. Following the discontinuation of certain benchmarks, part of the book is dedicated to the transition and the emergence of the overnight benchmark dominance in certain currencies. Based on the theoretical framework of the first chapters, the important curve calibration mechanism is analysed in detail. Many instruments are investigated with all their practical peculiarities. Most of the book is dedicated to the understanding of the "static" interest rate curves. The book's last part deals with the building blocks of any dynamic model explaining their future behaviour and apply some of those models to the most liquid instruments. Based on more than 25 years of experience as a trader and quantitative analyst in the related markets, the author includes many details on implementation in libraries and using the framework in risk management, which will be of interest to traders, risk managers, quantitative analysts, and actuaries alongside professors, researchers, and students of banking, insurance, risk management, and quantitative finance. N° de réf. du vendeur LU-9783032026842
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Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution, Transition, and Implementation
Edité par
Palgrave Macmillan, 2025
ISBN 10 : 3032026849
ISBN 13 : 9783032026842
Neuf
Couverture rigide
Vendeur : Revaluation Books, Exeter, Royaume-Uni
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Hardcover. Etat : Brand New. 2nd edition. 250 pages. 9.26x6.11x9.21 inches. In Stock. This item is printed on demand. N° de réf. du vendeur __3032026849
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INTEREST RATE MODELLING IN THE MULTICURV
Edité par
Palgrave Macmillan, 2026
ISBN 10 : 3032026849
ISBN 13 : 9783032026842
Neuf
Couverture rigide
Vendeur : Speedyhen, Hertfordshire, Royaume-Uni
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Etat : NEW. N° de réf. du vendeur NW9783032026842
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Interest Rate Modelling in the Multi-Curve Framework
Edité par
Springer Verlag GmbH, 2026
ISBN 10 : 3032026849
ISBN 13 : 9783032026842
Neuf
Couverture rigide
Vendeur : moluna, Greven, Allemagne
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Gebunden. Etat : New. N° de réf. du vendeur 2517211160
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Interest Rate Modelling in the Multi-Curve Framework : Foundations, Evolution, Transition, and Implementation
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Buch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - A new standard in interest rate modelling, called the multi-curve framework, emerged after the financial crisis. The framework covers two important market features: the collateralisation of derivative trades and the spread between different rate benchmarks. This book starts from the collateral mechanisms and builds the full framework from the foundations through all the technical and financial details. It kicks off with the collateral discounting in all its variants: domestic cash, foreign cash, or other assets and then introduces the different benchmarks and their associated spreads. Following the discontinuation of certain benchmarks, part of the book is dedicated to the transition and the emergence of the overnight benchmark dominance in certain currencies. Based on the theoretical framework of the first chapters, the important curve calibration mechanism is analysed in detail. Many instruments are investigated with all their practical peculiarities. Most of the book is dedicated to the understanding of the static interest rate curves. The book s last part deals with the building blocks of any dynamic model explaining their future behaviour and apply some of those models to the most liquid instruments. Based on more than 25 years of experience as a trader and quantitative analyst in the related markets, the author includes many details on implementation in libraries and using the framework in risk management, which will be of interest to traders, risk managers,quantitative analysts, and actuaries alongside professors, researchers, and students of banking, insurance, risk management, and quantitative finance. N° de réf. du vendeur 9783032026842
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