Authors:
- 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)
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Front Matter
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Back Matter
About this book
Authors and Affiliations
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OpenGamma, London, UK
Marc Henrard
About the author
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.
Bibliographic Information
Book Title: Interest Rate Modelling in the Multi-Curve Framework
Book Subtitle: Foundations, Evolution and Implementation
Authors: Marc Henrard
Series Title: Applied Quantitative Finance
DOI: https://doi.org/10.1057/9781137374660
Publisher: Palgrave Macmillan London
eBook Packages: Palgrave Economics & Finance Collection, Economics and Finance (R0)
Copyright Information: Palgrave Macmillan, a division of Macmillan Publishers Limited 2014
Hardcover ISBN: 978-1-137-37465-3Published: 29 May 2014
Softcover ISBN: 978-1-349-47704-3Published: 01 January 2014
eBook ISBN: 978-1-137-37466-0Published: 29 May 2014
Series ISSN: 2947-700X
Series E-ISSN: 2947-7018
Edition Number: 1
Number of Pages: XIII, 241
Topics: Financial Engineering, Investments and Securities, Corporate Finance, Risk Management, Business Finance