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Cover: 9781349477043 | Interest Rate Modelling in the Multi-Curve Framework | M. Henrard
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Interest Rate Modelling in the Multi-Curve Framework
Foundations, Evolution and Implementation
Taschenbuch von M. Henrard
Sprache: Englisch

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Beschreibung
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.
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.
Über den Autor
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 riskmanagement. He publishes on a regular basis in international finance journals and is a regular speaker at practitioner and academic conferences.
Zusammenfassung

Discusses Algorithmic Differentiation specifically applied to finance

Provides guidance on theory and the practical application to financial markets

Offers working code for testing and analysis

Inhaltsverzeichnis
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
Details
Erscheinungsjahr: 2014
Fachbereich: Betriebswirtschaft
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
Reihe: Applied Quantitative Finance
Inhalt: xiii
241 S.
ISBN-13: 9781349477043
ISBN-10: 1349477044
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Henrard, M.
Auflage: 1st ed. 2014
Hersteller: Palgrave Macmillan
Palgrave Macmillan UK
Applied Quantitative Finance
Maße: 235 x 155 x 15 mm
Von/Mit: M. Henrard
Erscheinungsdatum: 01.01.2014
Gewicht: 0,394 kg
Artikel-ID: 103729111
Über den Autor
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 riskmanagement. He publishes on a regular basis in international finance journals and is a regular speaker at practitioner and academic conferences.
Zusammenfassung

Discusses Algorithmic Differentiation specifically applied to finance

Provides guidance on theory and the practical application to financial markets

Offers working code for testing and analysis

Inhaltsverzeichnis
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
Details
Erscheinungsjahr: 2014
Fachbereich: Betriebswirtschaft
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
Reihe: Applied Quantitative Finance
Inhalt: xiii
241 S.
ISBN-13: 9781349477043
ISBN-10: 1349477044
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Henrard, M.
Auflage: 1st ed. 2014
Hersteller: Palgrave Macmillan
Palgrave Macmillan UK
Applied Quantitative Finance
Maße: 235 x 155 x 15 mm
Von/Mit: M. Henrard
Erscheinungsdatum: 01.01.2014
Gewicht: 0,394 kg
Artikel-ID: 103729111
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