Endorsement: Chyng Wen Tee

As you have seen on the book's cover, Professor Chyng Wen Tee (Assistant Professor of Quantitative Finance, Singapore Management University) was kind enough to endorse the book.

The endorsement printed on the back cover was not the full original text of the endorsement; the original endorsement was longer and would not have fit on the back cover.

The full original text:
As a quantitative finance practitioner-turned-academic, I read Dr. Henrard's Interest Rate Modelling in the Multi-curve Framework with great interest and excitement. Seven years after the onset of the infamous financial crisis that started in 2007, credible reference textbooks refurbishing our approach to interest rate modelling remain sparse, leading to a dichotomous gap between the interest rate models taught in a university and the interest rate models applied in practice. In the academic world, all too often the teaching of important concepts about time value of money, discounting and forwarding becomes commingled under the single-curve framework. Students consequently lose context, and graduate with only a loose understanding of the key concepts, without grasping the essence and salient points of interest rate models. On the other hand, from a practitioner's perspective, while numerous leading investment banks have since rolled out a multi-curve interest rate pricing architecture, a good rigorous reference textbook laying out the theoretical foundation and filling in the necessary mathematics with germane rigour is still lacking.

This book provides all the vital missing links for academic and practitioners alike, effectively bridging the gap between theory and practice. Unlike many textbooks which only focus on theory, Dr. Henrard's book takes a unique bottom up approach, guiding the reader all the way from the formulation of fundamental mathematical framework to actual implementation in a production environment, delving along the way into advanced topics including collateralisation, multi-curve calibration, implication on portfolio management as well as exposition on a wealth of interest rate products. This book more than delivers what it promises as far as foundations, evolution and implementation go. Dr. Henrard's elucidating and engaging writing style makes this highly informative book a pleasure to read. On top of that, this a book that also furnishes you with intuition, perspectives and a solid understanding of what forward rates and discount factors really mean. There's little doubt that this will be the de facto textbook on interest rate modelling for many years to come.
Prof. Chyng Wen Tee
Assistant Professor of Quantitative Finance, Singapore Management University

Comments

Post a Comment

Popular posts from this blog

Multi-curve framework book: new edition in progress

Image
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...
Read more

Rigged: part 1 - Will there be a part 2?

Image
I have been reading book “Rigged: The Incredible True Story of the Whistleblowers Jailed after Exposing the Rotten Heart of the Financial” (Andy Verity, Flint, June 2023) for some time. It was published several month ago, but I just finished it. To my defence, I have to say that I don’t feel comfortable reading fiction where the “bad guys” are systematically winning by cheating. The book is the story of the miscarriage of justice done in the LIBOR manipulation story. The book content did not surprise me. For anybody having worked on a (swap) trading desk, it is clear that what was described by the accusation was impossible. It is not possible for some middle level trader to create a multi-year, multi-desk, multi-bank international conspiracy over open lines, broker lines, on open offices etc. without all around them, including compliance and senior management to be fully aware of what is going on. Moreover the regulators cannot be ignorant of the situation, except pleading complete in...
Read more

Treasury / Swap spreads are negative. And what?

In recent weeks there were several news articles related to the negative treasury/Swap spread. This is in particular the case of a Bloomberg article and a Zero Hedge blog . Some of the “information” in those notes are Swap rates are what companies, investors and traders pay to exchange fixed interest payments for floating ones. That rate falling below Treasury yields […]  is illogical in the eyes of most market observers, because it theoretically signals that traders view the credit of banks as superior to that of the U.S. government. It’s hard to overstate how illogical it is when swap spreads are inverted. That’s because it suggests that governments are less creditworthy than the very financial institutions they bailed out during the credit crisis just seven years ago. Let’s be clear, to me, those claims are purely wrong , nothing is “ illogical ” in negative swap spread. But why do I rant about that in the “multi-curve framework” blog? Because it is exactly the same that ...
Read more