A01=Alan Brace
advanced BGM calibration techniques
Author_Alan Brace
Bermudan Swaption
BGM
bond
Bond Volatility
Calendar Time
Caplet Volatility
Cash Forward
Category=KCH
Category=KF
Category=PBT
Category=PBW
CEV Model
conditional
Conditional Expectation
contract
Coupon Bond
derivative pricing methods
Deterministic Volatility
Du dW0
dW
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Exponential Martingale
financial risk management
forward
Forward Curves
Forward Measure
Forward Measure PT
function
Futures Contract
HJM Framework
implied
interest rate modeling
Kc Hc
measure
Payer Swap
PTN
quantitative finance
SDE
stochastic
stochastic calculus
Stochastic Volatilities
Swaption Volatility
term structure models
volatility
Volatility Function
zero-coupon
Product details
- ISBN 9780367388379
- Weight: 453g
- Dimensions: 156 x 234mm
- Publication Date: 19 Sep 2019
- Publisher: Taylor & Francis Ltd
- Publication City/Country: GB
- Product Form: Paperback
Secure
checkout
Fast Shipping
Easy returns
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.
Brace, Alan
