MBRM Debuts Its BGM Model For Interest Rate Exotics


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 model

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here