Engineering BGM.

MaRDI QIDQ5447499zbMATH OpenFDO

Authors Alan Brace

Publication date 6 March 2008

zbMATH Keywords

Financial mathematicsmarket model for pricing interest rates

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

Recommendations

• An elementary introduction to stochastic interest rate modeling.
• Robust Libor Modelling and Pricing of Derivative Products
• Interest rate models -- theory and practice
• Interest rate modeling. Theory and practice.
• MATHEMATICAL PSEUDO-COMPLETION OF THE BGM MODEL

Cited in

(10)

• Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
• Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
• Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
• scientific article; zbMATH DE number 467210 (Why is no real title available?)
• Robust Libor Modelling and Pricing of Derivative Products
• Calibration and parameterization methods for the Libor market model
• Moment approximations of displaced forward-LIBOR rates with application to swaptions
• PDEs for pricing interest rate derivatives under the new generalized forward market model (FMM)
• Interest rate derivatives. Valuation, calibration and sensitivity analysis
• A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option

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