Interest rate modelling in the multi-curve framework: foundations, evolution and implementation (Record no. 387045)
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000 -LEADER | |
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fixed length control field | 02508cam a22001695a 4500 |
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
fixed length control field | 141113s2014 enka b 001 0 eng d |
020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
International Standard Book Number | 9781137374653 |
082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
Classification number | 332.8015118 |
Item number | H3I6 |
100 1# - MAIN ENTRY--PERSONAL NAME | |
Personal name | Henrard, Marc |
9 (RLIN) | 309430 |
245 10 - TITLE STATEMENT | |
Title | Interest rate modelling in the multi-curve framework: foundations, evolution and implementation |
Statement of responsibility, etc. | Henrard, Marc |
260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
Place of publication, distribution, etc. | Houndmills |
Name of publisher, distributor, etc. | Basingstoke Palgrave Macmillan |
Date of publication, distribution, etc. | 2014 |
300 ## - PHYSICAL DESCRIPTION | |
Extent | xiii, 241 p. |
490 1# - SERIES STATEMENT | |
Series statement | Applied Quantitative Finance |
520 ## - SUMMARY, ETC. | |
Summary, etc. | 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.<br/>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.<br/>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.<br/>(http://www.palgrave.com/page/detail/interest-rate-modelling-in-the-multi-curve-framework-marc-henrard/?isb=9781137374653)<br/> |
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name entry element | Interest rates - Mathematical models |
942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
Koha item type | Book |
Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Collection code | Home library | Current library | Shelving location | Date acquired | Source of acquisition | Cost, normal purchase price | Total Checkouts | Total Renewals | Full call number | Barcode | Date last seen | Date last checked out | Cost, replacement price | Price effective from | Koha item type |
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Dewey Decimal Classification | Non-fiction | Ahmedabad | Ahmedabad | 04/12/2014 | NSI Infinium Global Pvt. Ltd. (Online) | 5675.40 | 3 | 3 | 332.8015118 H3I6 | 188028 | 06/03/2018 | 03/03/2017 | 6306.00 | 01/12/2014 | Book |