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Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation - Rilegato
Libro 2 di 14: Applied Quantitative Finance
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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Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation (Applied Quantitative Finance)
Da: Books From California, Simi Valley, CA, U.S.A.
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hardcover. Condizione: Very Good. Cover and edges may have some wear. Codice articolo mon0003603006
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Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation (Applied Quantitative Finance)
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Palgrave Macmillan, 2014
ISBN 10: 1137374659
ISBN 13: 9781137374653
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Hardcover. Condizione: Très bon. Ancien livre de bibliothèque avec équipements. Edition 2014. Ammareal reverse jusqu'à 15% du prix net de cet article à des organisations caritatives. ENGLISH DESCRIPTION Book Condition: Used, Very good. Former library book. Edition 2014. Ammareal gives back up to 15% of this item's net price to charity organizations. Codice articolo I-493-890
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Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation
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Hardcover. Condizione: Brand New. 241 pages. 9.25x6.25x0.75 inches. In Stock. Codice articolo zk1137374659
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