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Engineering BGM
Language
English
English
Book
Hardback
Presents techniques that originate from practical problems and that address real requirements. This...
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Libristo code: 06685852
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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.
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About the book
Full name
Engineering BGM
Author
Alan Brace
Language
English
English
Binding
Book - Hardback
Date of issue
2007
Number of pages
236
EAN
9781584889687
ISBN
9781584889687
Libristo code
06685852
Publishers
Taylor & Francis Ltd
Weight
476
Dimensions
164 x 243 x 22
Categories
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