Engineering Bgm (Chapman & Hall/CRC Financial Mathematics) (Chapman & Hall/CRC Financial Mathematics Series)

by Alan Brace (Author)

• New

  Hardcover
  2007

  $125.27

  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.