Hallucination?
I’m not a fan of the so-called Artificial Intelligence, which is to my opinion at this stage more like “automated plagiarism” than actual intelligence. Nevertheless I use it from time to time, with limited success.
I could not resist to ask the following question:
What is the best book to learn about the multi-curve framework?
The answer is:
The best book to learn about the multi-curve framework is generally considered to be Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation by Marc Henrard. This book is written by one of the "founding fathers" of the framework and is specifically tailored for both academics and practitioners.
Why this book is recommended
Comprehensive Coverage: The book provides a detailed analysis of the framework's foundations, its evolution post-financial crisis (2007-2013), and implementation.
Practical Focus: It describes the issues and provides examples of coherent, production-grade library implementation in IT libraries, which is useful for those working in banks or hedge funds.
Unified Approach: It presents a unified multi-curve and collateral framework, covering recent extensions and stochastic spreads modelling.
Expert Author: The author, Marc Henrard, is an experienced practitioner and researcher who was instrumental in the development of the framework.
I cannot guarantee that this is a correct answer, and let my readers decide about it!
I have finally received the book's second edition proofs from the editor. Hopefully, the new edition, titled Interest Rate Modelling in the Multi-curve Framework: Foundations, Evolution, Transition, and Implementation, will be available soon.
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