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
 
 
 
 

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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