| Record ID | marc_columbia/Columbia-extract-20221130-031.mrc:47973747:4759 |
| Source | marc_columbia |
| Download Link | /show-records/marc_columbia/Columbia-extract-20221130-031.mrc:47973747:4759?format=raw |
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006 m o d
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008 080716s2008 flu ob 001 0 eng d
035 $a(OCoLC)ocn234082207
035 $a(NNC)15072031
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020 $a9781584889694$q(electronic bk. ;$qAdobe Reader)
020 $a1584889691$q(electronic bk. ;$qAdobe Reader)
020 $z9781584889687
020 $z1584889683
035 $a(OCoLC)234082207$z(OCoLC)213442673$z(OCoLC)299104161$z(OCoLC)508297815$z(OCoLC)535494569$z(OCoLC)648349187$z(OCoLC)779923393
037 $bOverDrive, Inc.$nhttp://www.overdrive.com
050 4 $aHB539
072 7 $aBUS$x027000$2bisacsh
082 04 $a332.64/57$222
049 $aZCUA
100 1 $aBrace, Alan.
245 10 $aEngineering BGM /$cAlan Brace.
260 $aBoca Raton, FL :$bChapman & Hall/CRC,$c©2008.
300 $a1 online resource (xv, 217 pages)
336 $atext$btxt$2rdacontent
337 $acomputer$bc$2rdamedia
338 $aonline resource$bcr$2rdacarrier
490 1 $aChapman & Hall/CRC financial mathematics series
504 $aIncludes bibliographical references (pages 203-211) and index.
588 0 $aPrint version record.
505 0 $aPREFACE; ; INTRODUCTION; Background HJM; The First Correct Black Caplet; Forward BGM Construction; ; BOND AND SWAP BASICS; Zero Coupon Bonds-Drifts and Volatilities; Swaps and Swap Notation; ; SHIFTED BGM; Definition of Shifted Model; Backward Construction; ; SWAPRATE DYNAMICS; Splitting the Swaprate; The Shift Part; The Stochastic Part; Swaption Values; Swaprate Models; ; PROPERTIES OF MEASURES; Changes among Forward and Swaprate Measures; Terminal Measure; Spot LIBOR Measure; ; HISTORICAL CORRELATION AND VOLATILITY; Flat and Shifted BGM off Forwards; Gaussian HJM off Yield-to-Maturity; Flat and Shifted BGM off Swaprates; ; CALIBRATION TECHNIQUES; Fitting the Skew; Maturity-Only Fit; Homogeneous Spines; Separable One-Factor Fit; Separable Multi-Factor Fit; Pedersen's Method; Cascade Fit; Exact Fit with Semidefinite Programming; ; INTERPOLATING BETWEEN NODES; Interpolating Forwards; Dead.
505 0 $aForwards; Interpolation of Discount Factors; Consistent Volatility; ; SIMULATION; Glasserman-Type Simulation; Big-Step Simulation; ; TIMESLICERS; Terminal Measure Timeslicer; Intermediate Measure Timeslicer; A Spot Measure Timeslicer Is Problematic; Some Technical Points; Two-Dimensional Timeslicer; ; PATHWISE DELTAS; Partial Derivatives of Forwards; Partial Derivatives of Zeros and Swaps; Differentiating Option Payoffs; Vanilla Caplets and Swaptions; Barrier Caps and Floors; ; BERMUDANS; Backward Recursion; The Longstaff-Schwartz Lower Bound Technique; Upper Bounds; Bermudan Deltas; ; VEGA AND SHIFT HEDGING; When Calibrated to Coterminal Swaptions; When Calibrated to Liquid Swaptions; ; CROSS-ECONOMY BGM; Cross-Economy HJM; Forward FX Contracts; Cross-Economy Models; Model with the Spot Volatility Deterministic; Cross-Economy Correlation; Pedersen-Type Cross-Economy Calibration; ; INFLATION; TIPS and.
505 0 $aThe CPI; Dynamics of the Forward Inflation Curve; ; STOCHASTIC VOLATILITY BGM; Construction; Swaprate Dynamics; Shifted Heston Options; Simulation; Interpolation, Greeks, and Calibration; ; OPTIONS IN BRAZIL; Overnight DI; Pre-DI Swaps and Swaptions; DI Index Options; DI Futures Contracts; DI Futures Options; ; APPENDIX: NOTATION AND FORMULAE; Swap Notation; Gaussian Distributions; Stochastic Calculus; Linear Algebra; Some Fourier Transform Technicalities; The Chi-Squared Distribution; Miscellaneous; ; REFERENCES; INDEX.
650 0 $aInterest rates$xMathematical models.
650 6 $aTaux d'intérêt$xModèles mathématiques.
650 7 $aBUSINESS & ECONOMICS$xFinance.$2bisacsh
650 7 $aInterest rates$xMathematical models.$2fast$0(OCoLC)fst00976191
650 7 $aRänta$xmatematiska modeller.$2sao
655 4 $aElectronic books.
776 08 $iPrint version:$aBrace, Alan.$tEngineering BGM.$dBoca Raton, FL : Chapman & Hall/CRC, ©2008$z1584889683$w(DLC) 2008297063$w(OCoLC)187307125
830 0 $aChapman & Hall/CRC financial mathematics series.
856 40 $uhttp://www.columbia.edu/cgi-bin/cul/resolve?clio15072031$zTaylor & Francis eBooks
852 8 $blweb$hEBOOKS