Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation

Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation

by M. Henrard

Paperback(1st ed. 2014)

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Product Details

ISBN-13: 9781349477043
Publisher: Palgrave Macmillan UK
Publication date: 01/01/2014
Series: Applied Quantitative Finance
Edition description: 1st ed. 2014
Pages: 241
Product dimensions: 6.10(w) x 9.25(h) x (d)

About the Author

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 risk management. He publishes on a regular basis in international finance journals and is a regular speaker at practitioner and academic conferences.

Table of Contents

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

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