Engineering BGM: 1st Edition (Paperback) book cover

Engineering BGM

1st Edition

By Alan Brace

Chapman and Hall/CRC

240 pages

Purchasing Options:$ = USD
Paperback: 9780367388379
pub: 2019-09-19
SAVE ~$14.99
$74.95
$59.96
x
Hardback: 9781584889687
pub: 2007-11-01
SAVE ~$24.00
$120.00
$96.00
x
eBook (VitalSource) : 9780429092817
pub: 2007-11-01
from $28.98


FREE Standard Shipping!

Description

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.

Table of Contents

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.

About the Author

Brace, Alan

About the Series

Chapman and Hall/CRC Financial Mathematics Series

Learn more…

Subject Categories

BISAC Subject Codes/Headings:
BUS027000
BUSINESS & ECONOMICS / Finance
MAT000000
MATHEMATICS / General
MAT029000
MATHEMATICS / Probability & Statistics / General