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Engineering BGM


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Table of Contents

Preface. Introduction. Bond and Swap Basics. Shifted BGM. Swaprate Dynamics. Properties of Measures. Historical Correlation and Volatility. Calibration Techniques. Interpolating between Nodes. Simulation. Timeslicers. Pathwise Deltas. Bermudans. Vega and Shift Hedging. Cross-Economy BGM. Inflation. Stochastic Volatility BGM. Options in Brazil. Appendix. References. Index.

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Brace, Alan

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