Books' contents

Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation

The full table of contents can also be downloaded from Palgrave website: http://www.palgrave.com/PDFs/9781137374653_sample.pdf. The PDF file also contains the first chapter of the book, which is the introduction to the book and to the history of the multi-curve framework.

List of Figures			viii
List of Tables			x
Preface			xii
1	Introduction		1
	1.1	9 August 2007	1
	1.2	Foundations, evolution, and implementation	2
	1.3	Standard text book framework	4
	1.4	The precursors	5
	1.5	Early multi-curve framework literature	6
	1.6	Collateral and funding	10
	1.7	How to read this book	10
	1.8	What is not in this book	11
2	The Multi-curve Framework Foundations		12
3	Variation on a Theme		31
4	Interpolation		41
5	Curve Calibration		50
6	More Instruments		84
7	Options and Spread Modelling		105
8	Collateral and Funding		145
A	Gaussian HJM		190
B	Conventions		198
C	Implementation in a library		218

 
 

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Algorithmic Differentiation in Finance Explained

List of Figures		vii
List of Tables		ix
Preface		xi
1	Introduction	1
2	The Principles of Algorithmic Differentiation	15
3	Application to Finance	31
4	Automatic Algorithmic Differentiation	41
5	Derivatives to Non-inputs and Non-derivatives to Inputs .	67
6	Calibration	77
A	Mathematical Results	99