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Engineering BGM
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Product Details
Author:
Alan Brace
Format:
Paperback
Pages:
240
Publisher:
CRC Press (September 19, 2019)
Language:
English
ISBN-13:
9780367388379
Weight:
16oz
Dimensions:
6.125" x 9.1875"
File:
TAYLORFRANCIS-TayFran_260709044412550-20260709.xml
Folder:
TAYLORFRANCIS
List Price:
$94.99
Country of Origin:
United States
Series:
Chapman and Hall/CRC Financial Mathematics Series
Case Pack:
1
As low as:
$90.24
Publisher Identifier:
P-CRC
Discount Code:
H
Pub Discount:
30
Imprint:
Chapman and Hall/CRC
Overview
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.
