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Interest rate modelling in the multi-curve framework :foundations, evolution and implementation /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Interest rate modelling in the multi-curve framework :Marc Henrard.
Reminder of title:	foundations, evolution and implementation /
Author:	Henrard, Marc,
Description:	1 online resource.
Subject:	Interest ratesMathematical models.
Online resource:	https://link.springer.com/book/10.1057/9781137374660
ISBN:	1137374667 (electronic bk.)

Interest rate modelling in the multi-curve framework :foundations, evolution and implementation /
Henrard, Marc,1968-

Interest rate modelling in the multi-curve framework :foundations, evolution and implementation /Marc Henrard. - 1 online resource.

1. 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.

Interest 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.

ISBN: 1137374667 (electronic bk.)

Source: 707838Palgrave Macmillanhttp://www.palgraveconnect.comSubjects--Topical Terms:

182968
Interest rates
--Mathematical models.Index Terms--Genre/Form:

214472
Electronic books.

LC Class. No.: HG1621

Dewey Class. No.: 332.1/13

Interest rate modelling in the multi-curve framework :foundations, evolution and implementation /
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520 $a Interest 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.
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