2014-06-15

Endorsement: Stéphane Crépey

As you have seen on the book's cover, Professor Stéphane Crépey (Head of Probability and Mathematical Finance, University of Every, France) was kind enough to endorse the book.

The endorsement printed on the back cover was not the full original text of the endorsement; it was a little bit longer and contained some comments to start a dialogue or debate on some philosophical questions about the multi-curve framework.

The full original text:

With his two seminal ''irony'' papers, Marc Henrard is one of the very first to have identified (and in fact, anticipated) the importance of the interest rate multi-curve tsunami that came in the aftermath of the global financial crisis. Quite logically, this is also the focus of his book, one of the very few of its kind. Indeed, "competitors" typically also (and mainly) deal with CVA, FVA and the likes, so that there is usually not much space left for the multi-curve issue per se. By contrast, Marc addresses the question from foundations to curve calibration (a must read in the book). I’m not so sure about the statement that ‘the framework is different from the previous one-curve approach in fundamental aspects’, but in a sense this is a matter of point of view. All together, a very practical and nice read.
Oh, by the way, ''What is the present value of an FRA?''

Professor Stéphane Crépey
Head of Probability and Mathematical Finance, University of Every, France

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