Book Details
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.
Read more - Author Alan Brace
- ISBN13 9781584889687
- ISBN10 1584889683
- Pages 236
- Published 2007
- Fecha de publicación 01/11/2007
- Language German, French
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Engineering BGM (German, French)
- By
- Alan Brace
- |
- Routledge (2007)
- 9781584889687



