Engineering BGM - Chapman and Hall / CRC Financial Mathematics Series - Alan Brace - Books - Taylor & Francis Inc - 9781584889687 - November 1, 2007
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Alan Brace
Engineering BGM - Chapman and Hall / CRC Financial Mathematics Series 1st edition

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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.

240 pages, figures

Media Books     Hardcover Book   (Book with hard spine and cover)
Released November 1, 2007
ISBN13 9781584889687
Publishers Taylor & Francis Inc
Pages 236
Dimensions 164 × 243 × 22 mm   ·   476 g
Language English  

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