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

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9781137374653: Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation (Applied Quantitative Finance)
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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. 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. 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.

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

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Marc Henrard
Verlag: Palgrave Macmillan Mai 2014 (2014)
ISBN 10: 1137374659 ISBN 13: 9781137374653
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Buchbeschreibung Palgrave Macmillan Mai 2014, 2014. Buch. Buchzustand: Neu. 164x242x21 mm. Neuware - 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. 241 pp. Englisch. Artikel-Nr. 9781137374653

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