2014-06-21

Endorsement: Daminano Brigo and Andrea Pallavicini

This is an important and much needed book looking at multiple interest rate curves, including collateralization. The subject is introduced motivating all developments from a historical perspective and is very pleasant to read. Both a rigorous theoretical approach and detailed practical recipes for bootstrapping and interpolation techniques are provided, in a coordinated fashion, using real market products. Advanced discussion of multiple curve dynamics, with specific modeling choices, is also given in the final part. From one of the originators and protagonists of the recent multiple curves literature, this is an appealing book for a potentially wide audience and is strongly recommended.

Prof Damiano Brigo
Dept of Mathematics, Imperial College London, and Director of the Capco institute, and
Dr Andrea Pallavicini
Imperial College London and Head of Equity, Fx and Commodities models, Banca IMI

No comments:

Post a Comment