"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." --Damiano Brigo, Chair of Mathematical Finance and Stochastic Analysis, Imperial College London "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." --Andrea Pallavicini, Head of Equity, FX and Commodity Models, Intesa Sanpaolo "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 modeling 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 Models and Markets, University of Bologna Marc Henrard is a Managing Partner at muRisQ Advisory. Over the last 25 years, Marc has worked in various areas of quantitative finance including risk management, trading, software development, and quantitative research. He was formerly Head of Quantitative Research at OpenGamma, Head of Interest Rate Modeling for Dexia Group, Head of Quantitative Research and Deputy Head of Interest Rate Trading at the Bank for International Settlements (BIS) and Deputy Head of Treasury Risk also at BIS. Previously, he held several academic positions in Belgium, Italy, and the UK. Marc's research focuses on interest rate modelling, risk management, and margin models. He is an expert in the multi-curve framework, the impact of collateral, benchmark transition, in depth analysis of liquid derivatives, and market infrastructure (initial margin, quantitative impacts of regulation). Marc holds a PhD in Mathematics from the University of Louvain, Belgium.