Engineering BGM
Alan Brace
Taylor & Francis Inc, 2007
220,75 €On orderDelivery: 2-3 weeks
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.
- ISBN-13
- 9781584889687
- ISBN-10
- 1584889683
- Publisher
- Taylor & Francis Inc
- Year
- 2007
- Publication date
- 2007-11-01
- Pages
- 236
- Dimensions
- 243x164x22
- Weight
- 476