Articoli correlati a Interest Rate Modelling in the Multi-Curve Framework:...

Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation - Rilegato

Libro 2 di 14: Applied Quantitative Finance

Henrard, Marc

 
9781137374653: Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation
Rilegato
ISBN 10: 1137374659 ISBN 13: 9781137374653
Casa editrice: Palgrave Macmillan, 2014

Sinossi

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.

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Informazioni sull'autore

Marc Henrard is Head of Quantitative Research and a member of the Executive Committee at OpenGamma, a risk management technology firm founded in 2009. Marc is also an Honorary Senior Lecturer at University College London where he teaches a course on interest rate modelling. He has over 15 years' experience in finance, including senior positions in risk management, trading, and quantitative research. Prior to joining OpenGamma, Marc was in charge of researching and implementing interest rate models as the Global Head of Interest Rate Modelling for the Dexia Group. Previously he held various management positions at the Bank for International Settlements as Deputy Head of Treasury Risk, Deputy Head of Interest Rate Trading and Head of Quantitative Research. Marc holds a PhD in Mathematics from the University of Louvain, Belgium. Prior to his career in finance he was a research scientist and university lecturer for 8 years.

Marc's research focuses on interest rate modelling and risk management. He publishes on a regular basis in international finance journals and is a regular speaker at practitioner and academic conferences.

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Editore
Palgrave Macmillan
Data di pubblicazione
2014
Lingua
Inglese
ISBN 10 
1137374659
ISBN 13 
9781137374653
Rilegatura
Copertina rigida
Numero di pagine
241
Contatto del produttore
Paradox Interactive
https://plaion.com/

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Altre edizioni note dello stesso titolo

9781349477043: Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation

Edizione in evidenza

ISBN 10:  1349477044 ISBN 13:  9781349477043
Casa editrice: Palgrave Macmillan, 2014
Brossura