Engineering BGM by Alan Brace
From simple to more sophisticated versions of the BGM model, this book offers a range of methods that can be programmed into production code to suit readers' requirements. It first introduces the standard lognormal flat BGM model and then focuses on the shifted version to develop basic ideas about construction, change of measure, correlation, calibration, simulation, timeslicers (lattices), pricing, delta hedging, barriers, Bermudans, and vega hedging. Subsequent chapters address cross-economy BGM, the adaptation of the BJM model to inflation, a simple tractable stochastic volatility version of BGM, and Brazilian options suitable for BGM analysis.-
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Brace, Alan
| SKU | Unavailable |
| ISBN 13 | 9780367388379 |
| ISBN 10 | 0367388375 |
| Title | Engineering BGM |
| Author | Alan Brace |
| Series | Chapman And Hall Crc Financial Mathematics Series |
| Condition | Unavailable |
| Binding Type | Paperback |
| Publisher | Routledge |
| Year published | 2019-09-19 |
| Number of pages | 240 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |