ABSTRACT

Also known as the Libor market model, the Brace-Gatarek-Musiela (BGM) model is becoming an industry standard for pricing interest rate derivatives. Written by one of its developers, Engineering BGM builds progressively from simple to more sophisticated versions of the BGM model, offering a range of methods that can be programmed into production cod

chapter 1|10 pages

Introduction

chapter 2|10 pages

Bond and Swap Basics

chapter 3|6 pages

Shifted BGM

chapter 4|12 pages

Swaprate Dynamics

chapter 5|6 pages

Properties of Measures

chapter 6|10 pages

Historical Correlation and Volatility

chapter 7|20 pages

Calibration Techniques

chapter 8|4 pages

Interpolating Between Nodes

chapter 9|8 pages

Simulation

chapter 10|8 pages

Timeslicers

chapter 11|8 pages

Pathwise Deltas

chapter 12|10 pages

Bermudans

chapter 13|8 pages

Vega and Shift Hedging

chapter 14|20 pages

Cross-Economy BGM

chapter 15|8 pages

Inflation

chapter 16|16 pages

Stochastic Volatility BGM

chapter 17|10 pages

Options in Brazil