Engineering BGM (Chapman & Hall/Crc Financial Mathematics Series)
by Alan Brace
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Book Summary Information
Author: Alan BraceEdition: Hardcover
Audio: English (Original Language); English (Unknown); English (Published)
Published: 2007-11-01
ISBN: 1584889683
Number of pages: 240
Publisher: Chapman & Hall/CRC
Accessories:
- An Introduction to Credit Risk Modeling (Chapman & Hall/Crc Financial Mathematics Series)
- Structured Credit Portfolio Analysis, Baskets and CDOs (Chapman & Hall/Crc Financial Mathematics Series)
- Financial Modelling with Jump Processes (Chapman & Hall/Crc Financial Mathematics Series)
Book Reviews of Engineering BGM (Chapman & Hall/Crc Financial Mathematics Series)
Book Review: One of the best BGM books on the market
Summary: 5 Stars
This is probably one of the best BGM books in the market. HJM and BGM models are studied in parallel. Shifted Lognormal distribution to model vol skew is very well explained.
Summary of Engineering BGM (Chapman & Hall/Crc Financial Mathematics Series)
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.Finance Books
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