Engineering bgm
Auteur :
Brace, Alan
Éditeur :
Taylor & Francis Inc
ISBN :
9781584889687
Date de publication :
1 nov. 2007
Dimensions :
23,4 x 15,6 cm
Poids :
600 g
Langue :
Anglais
Pays d'origine :
USA
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.