Taylor & Francis Brace, A: Engineering BGM

Providing a wide range of methods that can be programmed into production code, Engineering BGM presents techniques that originate from practical problems and that address real requirements. The book introduces the standard lognormal flat BGM and then discusses shifted versions of BGM, including stochastic volatility version. It covers topic such as simulation, time slicing, pricing, delta hedging, vega hedging, callable exotics, barriers, and construction. The author also addresses financial instruments in Brazil, which have evolved in a unique way and are amenable to BGM analysis. He presents a straightforward model suitable for conservative institutions that want a safe and stable environment. ...