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Engineering BGM

By Alan Brace

Engineering BGM Business & Technology

Engineering BGM

By Alan Brace

0 - Default Title
Description
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.
Product details
Binding:
Paperback
Edition:
1
Number of Pages:
238
Release Date:
2019-09-19
Publication Date:
2019-09-19
Publisher:
Chapman and Hall/CRC
Languages:
Original: English
ISBN10:
0367388375
ISBN13:
9780367388379
GPSR Manufacturer Reference:
[email protected]
Weight:
368 g
Height:
156 cm
Width:
234 cm
Thickness:
13 cm
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