Name: Engineering bgm (Chapman and Hall (en Inglés)
SKU: 55635906
Price: 114.02 USD
Availability: InStock
Author: Alan Brace

portada Engineering bgm (Chapman and Hall (en Inglés)

Engineering bgm (Chapman and Hall (en Inglés)

Formato

Libro Físico

Editorial

Crc Pr Inc

Autor

Alan Brace

Idioma

Inglés

N° páginas

240

Encuadernación

Tapa Blanda

ISBN13

9780367388379

N° edición

Engineering bgm (Chapman and Hall (en Inglés)

Alan Brace (Autor) · Crc Pr Inc · Tapa Blanda

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Reseña del libro "Engineering bgm (Chapman and Hall (en Inglés)"

Also known as the Libor market model, the Brace-Gatarek-Musiela (BGM) model is becoming an industry standard for pricing interest rate derivatives. Written by one of its developers, Engineering BGM builds progressively from simple to more sophisticated versions of the BGM model, offering a range of methods that can be programmed into production code to suit readers' requirements. After introducing the standard lognormal flat BGM model, the book focuses on the shifted/displaced diffusion version. Using this version, the author develops basic ideas about construction, change of measure, correlation, calibration, simulation, timeslicing, pricing, delta hedging, barriers, callable exotics (Bermudans), and vega hedging. Subsequent chapters address cross-economy BGM, the adaptation of the BGM model to inflation, a simple tractable stochastic volatility version of BGM, and Brazilian options suitable for BGM analysis. An appendix provides notation and an extensive array of formulae. The straightforward presentation of various BGM models in this handy book will help promote a robust, safe, and stable environment for calibrating, simulating, pricing, and hedging interest rate instruments.