Engineering BGM - Chapman & Hall/CRC Financial Mathematics Series (Hardback)Alan Brace (author)
- Publisher out of stock
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.
Publisher: Taylor & Francis Ltd
Number of pages: 240
Weight: 454 g
Dimensions: 235 x 159 x 18 mm
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