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MACMILLAN Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation (Applied Quantitative Finance)

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£88.55 £57.15 £64.00 £70.85 £77.70 £84.55 £91.41 10 June 2024 25 October 2024 12 March 2025 27 July 2025 12 December 2025

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199 days · current 23 days 67 days 23 days 46 days 29 days 148 days 16 days 0 50 100 149 199 £60 £67 £69 £73 £75 £76 £78 £89 Days at Price

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Most common price: £60 (199 days, 36.1%)

Price range: £60 - £89

Price levels: 8 different prices over 551 days

Description

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.

Product Specifications

Format
hardcover
Domain
Amazon UK
Publication Date
29 May 2014
Listed Since
22 January 2014

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