Multi-curve framework book new edition: endorsement by Andrea Pallavicini

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 December.

A decade ago, this book did not just introduce the essential multi-curve framework; it also laid its foundations with rigorous clarity, recognizing the pitfalls of simply adapting old "one-curve" approaches. Now, in its vital second edition, the author delivers an even more indispensable resource, profoundly addressing the market shifts that have redefined interest rate modeling. This edition is a direct response to critical changes like BCBS-IOSCO margin requirements and, most importantly, the end of LIBOR and the benchmark transition.
The book's strength lies in its axiomatic approach, providing solid proofs and clear definitions crucial for building robust models, ensuring complex theories are grounded in practical reality. It brilliantly shows how the framework evolved, revealing how market practice actually shaped the theory, rather than the reverse. Every piece of content is geared towards implementation, offering a coherent actionable framework not as an endpoint, but as a powerful starting block for comprehensive interest rate modeling. For anyone in quantitative finance, risk management, or trading interest rate derivatives, this second edition is not merely recommended; it is an absolute necessity for understanding, implementing, and adapting to the current and future landscape with unmatched precision and insight.

Andrea Pallavicini
Head of Equity, FX and Commodity Models at Intesa Sanpaolo

Unfortunately, the editor is late in producing the final draft. The latest expectation is to receive it in the coming week (10—14 November) for an actual publication in December. A very good idea if you were looking for a Christmas gift ;)

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