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- Retrait gratuit dans votre magasin Club
- 7.000.000 titres dans notre catalogue
- Payer en toute sécurité
- Toujours un magasin près de chez vous
148,95 €
+ 297 points
Format
Description
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.Spécifications
Parties prenantes
- Auteur(s) :
- Editeur:
Contenu
- Nombre de pages :
- 236
- Langue:
- Anglais
- Collection :
Caractéristiques
- EAN:
- 9781584889687
- Date de parution :
- 01-01-08
- Format:
- Livre relié
- Format numérique:
- Ongenaaid / garenloos gebonden
- Dimensions :
- 166 mm x 236 mm
- Poids :
- 476 g
