Code: 06685852

Engineering BGM

Name: Engineering BGM
Brand: Taylor & Francis Ltd
SKU: 06685852
Price: 173.92 EUR
Availability: BackOrder
Author: Alan Brace
ISBN: 9781584889687

by Alan Brace

Language: English
Binding: Hardback
Number of pages: 236
Publisher: Taylor & Francis Ltd, 2007
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Book synopsis

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.