Engineering Bgm

ISBN-13: 9780367388379 / Angielski / Miękka / 2019 / 240 str.

Alan Brace

Opis

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.

Spis treści

Preface. Introduction. Bond and Swap Basics. Shifted BGM. Swaprate Dynamics. Properties of Measures. Historical Correlation and Volatility. Calibration Techniques. Interpolating between Nodes. Simulation. Timeslicers. Pathwise Deltas. Bermudans. Vega and Shift Hedging. Cross-Economy BGM. Inflation. Stochastic Volatility BGM. Options in Brazil. Appendix. References. Index.

O autorze

Brace, Alan