Alan Brace

Engineering BGM (eBook, PDF)

• Format: PDF

Produktbeschreibung

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 cod

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Produktdetails

• Verlag: Taylor & Francis eBooks
• Seitenzahl: 240
• Erscheinungstermin: 1. November 2007
• Englisch
• ISBN-13: 9781584889694
• Artikelnr.: 37966776

Autorenporträt

Brace, Alan

Inhaltsangabe

Preface. Introduction. Bond and Swap Basics. Shifted BGM. Swaprate
Dynamics. Properties of Measures. Historical Correlation and Volatility.
Calibration Techniques. Interpolating between Nodes. Simulation.
Timeslicers. Pathwise Deltas. Bermudans. Vega and Shift Hedging.
Cross-Economy BGM. Inflation. Stochastic Volatility BGM. Options in Brazil.
Appendix. References. Index.