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 book is well written, the writing style engaging, it deals with the key issues and more, and besides Marc's own extensive contribution, shows an impressive attention to all the relevant literature, which is either included or discussed at the very least. Strongly recommended main reference for navigating today's interest rate markets and the multi-curve aspects in particular.

Damiano Brigo
Chair of Mathematical Finance and Stochastic Analysis, Imperial College London

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