Engineering BGM

Alan Brace

chapter 1 Introduction -- chapter 2 Bond and Swap Basics -- chapter 3 Shifted BGM -- chapter 4 Swaprate Dynamics -- chapter 5 Properties of Measures -- chapter 6 Historical Correlation and Volatility -- chapter 7 Calibration Techniques -- chapter 8 Interpolating Between Nodes -- chapter 9 Simulation -- chapter 10 Timeslicers -- chapter 11 Pathwise Deltas -- chapter 12 Bermudans -- chapter 13 Vega and Shift Hedging -- chapter 14 Cross-Economy BGM -- chapter 15 Inflation -- chapter 16 Stochastic Volatility BGM -- chapter 17 Options in Brazil.

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Year of publication:	2008
Authors:	Brace, Alan
Publisher:	Boca Raton, FL : Chapman & Hall/CRC,

Extent:	1 online resource (xv, 217 pages)
Series:	Chapman & Hall/CRC financial mathematics series
Type of publication:	Book / Working Paper
Language:	English
Notes:	Includes bibliographical references (pages 203-211) and index.
ISBN:	978-0-429-09281-7 ; 978-1-58488-968-7
Other identifiers:	10.1201/9781584889694 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10015069245