Engineering Bgm

Informationen zum Autor Brace! Alan Klappentext Providing a wide range of methods that can be programmed into production code! Engineering BGM presents techniques that originate from practical problems and that address real requirements. The book introduces the standard lognormal flat BGM and then discusses shifted versions of BGM! including stochastic volatility version. It covers topic such as simulation! time slicing! pricing! delta hedging! vega hedging! callable exotics! barriers! and construction. The author also addresses financial instruments in Brazil! which have evolved in a unique way and are amenable to BGM analysis. He presents a straightforward model suitable for conservative institutions that want a safe and stable environment. Zusammenfassung Presents techniques that originate from practical problems and that address real requirements. This book introduces the standard lognormal flat BGM and then discusses shifted versions of BGM, including stochastic volatility version. It covers topics such as simulation, time slicing, pricing, delta hedging, vega hedging, and callable exotics. Inhaltsverzeichnis 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.

Product details

• Authors: Alan Brace, Brace Alan
• Publisher: Taylor & Francis Ltd.
• Languages: English
• Product format: Hardback
• Released: 01.11.2007
• EAN: 9781584889687
• ISBN: 978-1-58488-968-7
• No. of pages: 236
• Series: Chapman and Hall/CRC Financial Mathematics Series; Chapman & Hall/CRC Financial Mathematics Series; Chapman and Hall/CRC Financial Mathematics Series
• Subjects: Social sciences, law, business > Business > General, dictionaries; BUSINESS & ECONOMICS / Finance / General, MATHEMATICS / General, MATHEMATICS / Probability & Statistics / General, Economic statistics, Finance & accounting, Probability & statistics, Applied mathematics, Probability and statistics, Finance and accounting, Econometrics and economic statistics