Books' contents

Interest Rate Modelling in the Multi-Curve Framework:
Foundations, Evolution, Transition, and Implementation (second edition, 2025)

A pdf copy of the draft Table of Contents can be obtained at https://drive.google.com/file/d/1U_2BHXt_IzkFP2GKKSImZTo3FfZDcQ88/

List of Figures -
List of Tables -
Preface — Second edition -
Preface — First edition -
1 Introduction 1
1.1 9 August 2007 1
1.2 1 March 2017 -
1.3 27 July 2017 -
1.4 Foundations, Evolution, transition, and Implementation -
1.5 Standard textbook framework -
1.6 The precursors -
1.7 Early multi-curve framework literature -
1.8 Collateral and Funding -
1.9 Names – value -
1.10 How to read this book -
1.11 What is not in this book -
2 Collateral Framework -
3 Benchmarks and the Multi-curve Framework Foundations -
4 Curve calibration and Interpolation -
5 Curve modelling -
6 Transition -
7 More instruments -
8 Risk management -
A Conventions and vanilla instruments -
B Gaussian HJM -
C Implementation in a library -

 

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

 

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

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