Engineering BGMCRC Press, 1 de nov. de 2007 - 240 páginas 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 cod |
Conteúdo
Introduction | 1 |
Bond and Swap Basics | 11 |
Shifted BGM | 21 |
Swaprate Dynamics | 27 |
Properties of Measures | 39 |
Historical Correlation and Volatility | 45 |
Calibration Techniques | 55 |
Interpolating Between Nodes | 75 |
Bermudans | 103 |
Vega and Shift Hedging | 113 |
CrossEconomy BGM | 121 |
Inflation | 141 |
Stochastic Volatility BGM | 149 |
Options in Brazil | 165 |
Notation and Formulae | 175 |
References | 203 |
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Termos e frases comuns
algorithm approximation at-the-money Bermudan bestfit BGM framework bond volatility difference calibration caplets and swaptions cash forward compute conditional expectation correlation corresponding coterminal swaptions covariance covariance matrix cross-economy dB t,T defined derivatives deterministic discounted domestic and foreign drift equation floating side foreign rates formula forward contract forward K t,T forward measure forward measure PT forward volatilities FT t,T futures contract FX forward g t,T Gaussian Glasserman H t,T hedge Hence implied volatilities inflation integral interest rate interpolation interval LIBOR market model lognormal martingale matrix nodes notation numeraire option payoff perturbation pSwap pSwpn random variable semidefinite Semidefinite programming shifted BGM shifted forward simulation skew stochastic volatility swaprate swaprate measure swaption volatilities t,Tj t,To terminal measure timeslicer Tj+1 vector volatility function zero coupon bond
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