Engineering BGM : Chapman and Hall/CRC Financial Mathematics Series - Alan Brace

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Engineering BGM

By: Alan Brace

eText | 1 November 2007 | Edition Number 1

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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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Published: 19th September 2019

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