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Lieferstatus:	i.d.R. innert 7-14 Tagen versandfertig
Veröffentlichung:	September 2019
Genre:	Wirtschaft / Recht
	advanced BGM calibration techniques / BUSINESS & ECONOMICS / Finance / General / derivative pricing methods / Econometrics and economic statistics / Economic statistics / Finance & accounting / Finance and accounting / Financial risk management / Interest Rate Modeling / MATHEMATICS / General / MATHEMATICS / Probability & Statistics / General / Probability & statistics / Probability and statistics / Quantitative Finance / Stochastic Calculus / term structure models mehr...
ISBN:	9780367388379
EAN-Code:	9780367388379
Verlag:	Taylor and Francis
Einband:	Kartoniert
Sprache:	English
Serie:	Chapman and Hall/CRC Financial Mathematics Series
Dimensionen:	H 234 mm / B 156 mm / D 13 mm
Gewicht:	453 gr
Seiten:	240
Bewertung:	Titel bewerten / Meinung schreiben

Inhalt:

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.