MBRM Debuts Its BGM Model For Interest Rate Exotics

TECHNOLOGY & INTEGRATION

LONDON--London-based risk vendor MB Risk Management (MBRM) claims that it has already solved the calibration and volatility smile issues that many risk analysts say plagues the implementation of the Bruce-Gatarek-Musiela (BGM) model--a special case of the HJM model that some members of the financial industry see as the answer to pricing and revaluing exotic interest rate derivatives like Bermudan options (RMO, June 14, 1999).

After a year in development, MBRM released its version of the BGM m