BGM Market Models - Advances, Calibration, Smile, Pricing
Readings
Please click on links below for papers which may be of interest when preparing for the BGM course. These documents are for course participants and can only be opened with the appropriate password.
http://www.exoticderivatives.com/MassimoMorini.html
Other suggested reading:
Brigo, D & Mercurio, F: Interest Rate Models - Theory and Practice: with Smile, Inflation and Credit (Springer Finance, 2006)
Further readings are available from the LFS library
If you don't already have it, get the reader here:
