Engineering BGM(Chapman and Hall/CRC Financial Mathematics Series)

工程BGM

货币银行学

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作      者
出  版 社
出版时间
2019年08月30日
装      帧
平装
ISBN
9780367388379
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页      码
240
开      本
6-1/8 x 9-1/4
语      种
英文
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图书简介
From simple to more sophisticated versions of the BGM model, this book offers a range of methods that can be programmed into production code to suit readers’ requirements. It first introduces the standard lognormal flat BGM model and then focuses on the shifted version to develop basic ideas about construction, change of measure, correlation, calibration, simulation, timeslicers (lattices), pricing, delta hedging, barriers, Bermudans, and vega hedging. Subsequent chapters address cross-economy BGM, the adaptation of the BJM model to inflation, a simple tractable stochastic volatility version of BGM, and Brazilian options suitable for BGM analysis.
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