Engineering Bgm (Paperback) (ISBN-13: 9780367388379)

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.

Author: Alan Brace
ISBN-10: 0367388375
ISBN-13: 9780367388379
Publisher: CRC Press
Language: English
Published: 09/19/2019
Pages: 240
Format: Paperback
Weight: 1.05lbs
Size: 9.10h x 6.10w x 0.60d