Engineering BGM. (©2008)

• Record Type: Book
• Further Information: Note: Alan Brace.
• Other Names: Brace, Alan
• Contents: PREFACE; ; INTRODUCTION; Background HJM; The First Correct Black Caplet; Forward BGM Construction; ; BOND AND SWAP BASICS; Zero Coupon Bonds-Drifts and Volatilities; Swaps and Swap Notation; ; SHIFTED BGM; Definition of Shifted Model; Backward Construction; ; SWAPRATE DYNAMICS; Splitting the Swaprate; The Shift Part; The Stochastic Part; Swaption Values; Swaprate Models; ; PROPERTIES OF MEASURES; Changes among Forward and Swaprate Measures; Terminal Measure; Spot LIBOR Measure; ; HISTORICAL CORRELATION AND VOLATILITY; Flat and Shifted BGM off Forwards; Gaussian HJM off Yield-to-Maturity; Flat and Shifted BGM off Swaprates; ; CALIBRATION TECHNIQUES; Fitting the Skew; Maturity-Only Fit; Homogeneous Spines; Separable One-Factor Fit; Separable Multi-Factor Fit; Pedersen's Method; Cascade Fit; Exact Fit with Semidefinite Programming; ; INTERPOLATING BETWEEN NODES; Interpolating Forwards; Dead Forwards; Interpolation of Discount Factors; Consistent Volatility; ; SIMULATION; Glasserman-Type Simulation; Big-Step Simulation; ; TIMESLICERS; Terminal Measure Timeslicer; Intermediate Measure Timeslicer; A Spot Measure Timeslicer Is Problematic; Some Technical Points; Two-Dimensional Timeslicer; ; PATHWISE DELTAS; Partial Derivatives of Forwards; Partial Derivatives of Zeros and Swaps; Differentiating Option Payoffs; Vanilla Caplets and Swaptions; Barrier Caps and Floors; ; BERMUDANS; Backward Recursion; The Longstaff-Schwartz Lower Bound Technique; Upper Bounds; Bermudan Deltas; ; VEGA AND SHIFT HEDGING; When Calibrated to Coterminal Swaptions; When Calibrated to Liquid Swaptions; ; CROSS-ECONOMY BGM; Cross-Economy HJM; Forward FX Contracts; Cross-Economy Models; Model with the Spot Volatility Deterministic; Cross-Economy Correlation; Pedersen-Type Cross-Economy Calibration; ; INFLATION; TIPS and the CPI; Dynamics of the Forward Inflation Curve; ; STOCHASTIC VOLATILITY BGM; Construction; Swaprate Dynamics; Shifted Heston Options; Simulation; Interpolation, Greeks, and Calibration; ; OPTIONS IN BRAZIL; Overnight DI; Pre-DI Swaps and Swaptions; DI Index Options; DI Futures Contracts; DI Futures Options; ; APPENDIX: NOTATION AND FORMULAE; Swap Notation; Gaussian Distributions; Stochastic Calculus; Linear Algebra; Some Fourier Transform Technicalities; The Chi-Squared Distribution; Miscellaneous; ; REFERENCES; INDEX
• Publisher Details: Boca Raton, FL : Chapman & Hall/CRC
• Publication Date: 2008
• Copyright Date: 2008
• Extent: 1 online resource (xv, 217 pages)
• Subjects: 332.64/57; Interest rates -- Mathematical models; BUSINESS & ECONOMICS -- Finance; Interest rates -- Mathematical models; Ränta -- matematiska modeller; Electronic books
• Languages: English
• ISBNs: 9781584889694; 1584889691
• Related ISBNs: 9781584889687; 1584889683
• Notes: Note: Includes bibliographical references (pages 203-211) and index.; Note: Print version record.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.