Engineering BGM 1st Edition
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Engineering BGM 1st Edition

SKU: 9781040195796

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Additional information

Full Title

Engineering BGM 1st Edition
Author(s)

Alan Brace
Edition

1st Edition
ISBN

9781040195796, 9780367388379, 9781584889687, 9780429092817, 9781584889694
Publisher

Chapman & Hall
Format

PDF and EPUB

Description

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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