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Multi-curve framework book: new edition in progress

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Subject: Interest Rate Modelling in the Multi-curve Framework: Foundations, Evolution, and Implementation It has been more than 10 years since I wrote the first edition of the multi-curve framework book. What happened in those 10 years? Why did it take me so long to start a new version? It took me roughly 10 years to write the first edition. The reason it took so long at that time, was that I did not know that I was writing it! I thought I was writing a couple of pages on an obscured and theoretical idea that there was not a `` one curve to rule them all '' but multiple curves. It turned out that it became the actual practice for very clear and important reasons. That was the excuse for the first edition, what is the excuse for the second edition? Since the first edition, many things happen, in particular: March 2015: BCBS - IOSCO: margin requirements for non-centrally cleared derivatives and mandatory variation margin July 2017: The future of LIBOR -- actually it...
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Multi-curve framework book new edition: endorsement by Marco Bianchetti

Different experts in interest rate modelling were kind enough to write an endorsement for the multi-curve new edition book. Part of them are displayed on the back-cover (there is not enough space to display the full texts there). I will publish on this blog the longer versions of them between now the actual book's publication in November. This is the book I would have loved to write, but now that I have it in front of me, I realize I would not have matched Marc Henrard's excellence. All the essential aspects needed to understand modern interest rate modelling theory, as well as to apply it in everyday financial practice, are clearly explained with a rigorous yet practical approach. Definitely, it is one of the books that every practitioner of quantitative finance should read and keep at hand. Marco Bianchetti Head of Market and Counterparty Risk IMA Methodologies, Market and Financial Risk Management, Intesa Sanpaolo, Milan Adjunct Professor of Advanced Interest Rate...
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Multi-curve framework book new edition: endorsement by Damiano Brigo

Different experts in interest rate modelling were kind enough to write an endorsement for the multi-curve new edition book. Part of them are displayed on the back-cover (there is not enough space to display the full texts there). I will publish on this blog the longer versions of them between now the actual book's publication in November. Marc Henrard has written a much needed second edition of his successful and popular multi-curve book. After a number of events, including the so-called LIBOR end hit the markets, and new types of contracts with new types of rates have appeared, together with some instances of survival of the old rates, a book like this has been much needed for the quant community and beyond. I will personally recommend this book to my MSc students who need to navigate the nuance of current interest rate markets. Marc has done a massive work of absorbing the changes introduced both by public institutions and the quant community in a coherent narrative. The boo...
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