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Engineering BGM - Alan Brace - Bog

Bag om Engineering BGM

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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  • Sprog:
  • Engelsk
  • ISBN:
  • 9780367388379
  • Indbinding:
  • Paperback
  • Sideantal:
  • 240
  • Udgivet:
  • 19. September 2019
  • Størrelse:
  • 156x234x0 mm.
  • Vægt:
  • 435 g.
  • 2-4 uger.
  • 19. April 2024

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Prøv i 30 dage for 45 kr.
Herefter fra 79 kr./md. Ingen binding.

Beskrivelse af Engineering BGM

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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