Some personal views about the world. Information about my books: "Interest Rate Modelling in the Multi-curve Framework: Foundations, Evolution, Transition, and Implementation" (2014, Second edition 2025) and "Algorithmic Differentiation in Finance Explained" (2017).
Printed!
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The printed copies of my book
Algorithmic Differentiation in Finance Explained
are now available.
Picture of the book with Canary Wharf in the background.
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...
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...
With the recent changes in market infrastructure and in the regulatory framework the importance of overnight benchmarks has increased in the last years and is expected to increase further. With that increased importance, the market will look for source of liquidity for overnight based derivatives beyond the traditional OIS. In its document on SONIA as the RFR, the The Working Group on Sterling Risk-Free Reference Rates calls for the development and promotion of interest rate derivative products which reference the RFR, including the design of a futures contract . At a couple of days interval, CurveGlobal and CME have announced their plans to launch new overnight benchmark based futures. In the case of CurveGlobal, the futures is called Three month SONIA futures. The launch is planned for Q2 2018. In the case of CME the futures is called CME Three-Month SOFR Futures. The launch is planned for 7 May 2018. The CME futures is based on the Secured Overnight Financing Rate (SOFR). The SOFR...
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