Interest Rate Modelling in the Multi-curve Framework

Foundations, Evolution and Implementation

  • MarcĀ Henrard

Part of the Applied Quantitative Finance book series (AQF)

Table of contents

  1. Front Matter
    Pages i-xii
  2. Marc Henrard
    Pages 1-11
  3. Marc Henrard
    Pages 12-30
  4. Marc Henrard
    Pages 31-40
  5. Marc Henrard
    Pages 41-49
  6. Marc Henrard
    Pages 50-83
  7. Marc Henrard
    Pages 84-104
  8. Marc Henrard
    Pages 105-144
  9. Marc Henrard
    Pages 145-189
  10. Back Matter
    Pages 190-241

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.


Interest rate modelling multi-curve framework collateral risk management curve calibration basis spread convexity adjustment financial crisis foundation funding interest modeling Options

Authors and affiliations

  • MarcĀ Henrard
    • 1
  1. 1.OpenGammaLondonUK

Bibliographic information