Engineering BGM

Engineering BGM

Forfatter: Alan Brace
Forlag: CRC Press
Udgave: 1
Udgivelsesdato: 2007
ISBN: 9780367388379

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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

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