Engineering BGM



Chapman & Hall/CRC | 2007-11-01 | ISBN: 1584889683 | 240 pages | PDF | 1,4 Mb

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.

Download:

http://depositfiles.com/files/4881816

http://w16.easy-share.com/1700195561.html

[Fast Download] Engineering BGM


Related eBooks:
Kites in a Hurricane
Salespeople Don't Lie
Gapenski's Fundamentals of Healthcare Finance, Third Edition
The Gen Z Frequency
The Trouble with Diversity: How We Learned to Love Identity and Ignore Inequality
Accounting for Slavery: Masters and Management
The Cash Flow Solution: The Nonprofit Board Member's Guide to Financial Success
Bankenrating: Einsatz empirisch-induktiver Ratingverfahren zur aufsichtlichen Erkennung bestandsgef
Against Austerity: How we Can Fix the Crisis they Made
A Short Guide to Customs Risk
Statistics of Financial Markets: Exercises and Solutions
Global Business Transcendence: International Perspectives Across Developed and Emerging Economies
Copyright Disclaimer:
This site does not store any files on its server. We only index and link to content provided by other sites. Please contact the content providers to delete copyright contents if any and email us, we'll remove relevant links or contents immediately.