Marc Henrard - Multi-curve framework

My " Interest Rate Modelling in the Multi-curve Framework " book has finally been published! It took quite some time between finishing the writing in the first half of 2025 and the actual physical availability. Hopefully some of you will find some interest in the result. Training based on the book’s content will be proposed. It can be as in-house or public workshops. One of the public workshops is planned for 17 and 18 December. Don’t hesitate to contact me if you are interested. ISBN-13: 978-3-032-02684-2 Related posts: Multi-curve framework book: new edition in progress Multi-curve book's cover Multi-curve book's cover (2) Multi-curve book: About the Book Multi-curve framework book new edition: endorsement by Andrea Pallavicini Multi-curve framework book new edition: endorsement by Marco Bianchetti Multi-curve framework book new edition: endorsement by Damiano Brigo Book publication soon!

I’m not a fan of the so-called Artificial Intelligence, which is to my opinion at this stage more like “automated plagiarism” than actual intelligence. Nevertheless I use it from time to time, with limited success. I could not resist to ask the following question: What is the best book to learn about the multi-curve framework? The answer is: The best book to learn about the multi-curve framework is generally considered to be Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation by Marc Henrard. This book is written by one of the "founding fathers" of the framework and is specifically tailored for both academics and practitioners. Why this book is recommended Comprehensive Coverage: The book provides a detailed analysis of the framework's foundations, its evolution post-financial crisis (2007-2013), and implementation. Practical Focus: It describes the issues and provides examples of coherent, production-grade li...

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 December. A decade ago, this book did not just introduce the essential multi-curve framework; it also laid its foundations with rigorous clarity, recognizing the pitfalls of simply adapting old "one-curve" approaches. Now, in its vital second edition, the author delivers an even more indispensable resource, profoundly addressing the market shifts that have redefined interest rate modeling. This edition is a direct response to critical changes like BCBS-IOSCO margin requirements and, most importantly, the end of LIBOR and the benchmark transition. The book's strength lies in its axiomatic approach, providing solid proofs and clea...

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 boo...

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...

I had the honor of having my new book endorsed by experts on Algorithmic Differentiation. The endorsement can also be found on the book's back cover. (Adjoint) Algorithmic Differentiation has quickly become an indispensable tool in modern financial engineering. Marc Henrard’s book is a lucid and concise introduction to the topic. The subject is introduced simply and clearly, from a mathematician’s prospective, and with the clear intention of demystifying the `black magic’ behind the staggering computational benefits of the technique. A nice read that many practitioners are likely to find useful. Luca Capriotti Visiting Professor Department of Mathematics, University College London

I had the honor of having my new book endorsed by experts on Algorithmic Differentiation. The endorsement can also be found on the book's back cover. With the number of Greeks relevant for the robust evaluation of financial products increasing steadily over recent years the subject of Algorithmic Differentiation has been gaining substantial popularity in computational finance. Marc Henrard presents an accessible explanation of the subject from the perspective of a highly experienced developer of financial simulation code. His book establishes a very useful entry point into the exciting world of adjoint methods in finance for both practitioners and academics. Uwe Naumann Professor RWTH Aachen University

I had the honor of having my new book endorsed by experts on Algorithmic Differentiation. The endorsement can also be found on the book's back cover. An easy, short and smooth path to Algorithmic Differentiation in Finance! Andrea Macrina Reader in Mathematics Department of Mathematics University College London

The Wall Street Journal (WSJ) ran a piece this week-end titled " The Quants Run Wall Street Now ". Some pictures of me are in the WSJ library; they took them at a presentation I gave at The Thalesians last month. They used one of those pictures to illustrate "the quants". The picture illustrating the article is Figure 1: Me with the first step of AAD printed on my face and the recursive formula on my shirt. Following the article, I feel the need to clarify a couple of "details". First of all, I'm not running anything or anybody at Wall Street. You may thing that this is a pity for human society, but personally, I feel very good about it and I don't want to run anything or anybody; nevertheless I don't mind speaking to people who want to listen to me willingly. This is the case for practitioners, regulators, academics, and journalists. Now about the content of the article. It discusses the increasing importance of "quants"...

I have recently found that Massimo Morini wrote a review of my "Multi-curve framework" book in Quantitative Finance. The text of the review can be found on the Quantitative Finance web-site (subscription required). I'm honored by the nice words of Massimo. The only minor point I have to disagree with him, is when he says that " I do not think that Marc possessed any prophetic powers ." As explained in a previous entry of my blog (see the last part of When fiction becomes reality ), the multi-curve framework is not the only proof of my prophetic powers … or of my luck. But consistent above average luck is even more rare than consistent forward thinking, so I'm fine with either!

This is an important and much needed book looking at multiple interest rate curves, including collateralization. The subject is introduced motivating all developments from a historical perspective and is very pleasant to read. Both a rigorous theoretical approach and detailed practical recipes for bootstrapping and interpolation techniques are provided, in a coordinated fashion, using real market products. Advanced discussion of multiple curve dynamics, with specific modeling choices, is also given in the final part. From one of the originators and protagonists of the recent multiple curves literature, this is an appealing book for a potentially wide audience and is strongly recommended. Prof Damiano Brigo Dept of Mathematics, Imperial College London, and Director of the Capco institute, and Dr Andrea Pallavicini Imperial College London and Head of Equity, Fx and Commodities models, Banca IMI

As you have seen on the book's cover, Professor Chyng Wen Tee (Assistant Professor of Quantitative Finance, Singapore Management University) was kind enough to endorse the book. The endorsement printed on the back cover was not the full original text of the endorsement; the original endorsement was longer and would not have fit on the back cover. The full original text: As a quantitative finance practitioner-turned-academic, I read Dr. Henrard's Interest Rate Modelling in the Multi-curve Framework with great interest and excitement. Seven years after the onset of the infamous financial crisis that started in 2007, credible reference textbooks refurbishing our approach to interest rate modelling remain sparse, leading to a dichotomous gap between the interest rate models taught in a university and the interest rate models applied in practice. In the academic world, all too often the teaching of important concepts about time value of money, discounting and forwarding beco...

As you have seen on the book's cover, Professor Stéphane Crépey (Head of Probability and Mathematical Finance, University of Every, France) was kind enough to endorse the book. The endorsement printed on the back cover was not the full original text of the endorsement; it was a little bit longer and contained some comments to start a dialogue or debate on some philosophical questions about the multi-curve framework. The full original text: With his two seminal ''irony'' papers, Marc Henrard is one of the very first to have identified (and in fact, anticipated) the importance of the interest rate multi-curve tsunami that came in the aftermath of the global financial crisis. Quite logically, this is also the focus of his book, one of the very few of its kind. Indeed, "competitors" typically also (and mainly) deal with CVA, FVA and the likes, so that there is usually not much space left for the multi-curve issue per se. By contrast, Marc addresses the...