PDF Interest Rate Modelling in the Multi-Curve Framework Foundations Evolution and Implementation (Applied Quantitative Finance)
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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. Institute of Economic Research Kyoto University For Advanced Economic Analysis English;
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