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Palgrave Macmillan
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Interest Rate Modelling in the Multi-Curve Framework

Foundations, Evolution and Implementation

  • Book
  • © 2014

Overview

Authors:
  1. Marc Henrard

    1. OpenGamma, London, UK

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  • 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

Part of the book series: Applied Quantitative Finance (AQF)

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Table of contents (8 chapters)

  1. Front Matter

    Pages i-xii
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  2. Introduction

    • Marc Henrard
    Pages 1-11

  3. The Multi-curve Framework Foundations

    • Marc Henrard
    Pages 12-30

  4. Variation on a Theme

    • Marc Henrard
    Pages 31-40

  5. Interpolation

    • Marc Henrard
    Pages 41-49

  6. Curve Calibration

    • Marc Henrard
    Pages 50-83

  7. More Instruments

    • Marc Henrard
    Pages 84-104

  8. Options and Spread Modelling

    • Marc Henrard
    Pages 105-144

  9. Collateral and Funding

    • Marc Henrard
    Pages 145-189

  10. Back Matter

    Pages 190-241
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Keywords

About this book

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.

Authors and Affiliations

  • OpenGamma, London, UK

    Marc Henrard

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

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