Here is the table of contents. BGM comes in under Market Models in
Chapter 8. There is a chapter on lattice methods which are good for
Bermudans. There's a chapter on Monte Carlo methods. While HJM and BGM
are covered pretty well, we've not specifically included valuation of
Bermudans with these models. But there is a lot on calibration of
different model types.
I guess it will partially answer your needs, as it doesn't specifically
have a list of deal types and 'best' valuation method. It is pretty
much comprehensive when it comes to model coverage, though. Let me know
what you think if you have chance to flick through it!
Jess
Table of Contents
Part 1Introduction to Interest Rate Modelling
1.Introduction to Interest Rates
2.Interest Rates in History
3.Introduction to Interest Rate Modelling
4.Interest Rate Models: Theory
5.Basic Modelling Tools
6.Densities and Distribution
Part 2: Interest Rate Models
7.Affine Models
8.Market Modsl and the Heath, Jarrow and Morton Framework
9.Other Interest Rate Models
10.General Formulations of Interest Rate Models
11.Economic Models
Part 3: Valuation Methods
12 Finite Difference Methods
13 Valuation: The Monte Carlo Method
14 Lattice Methods
Part 4: Calibration and Estimation
15 Modelling the Yield Curve
16 Principal components Analysis
17 Estimation Methods: GMM and ML
18 Further Estimation Methods
19 Interest Rates and Implied Pricing
Afterword
Notation
Glossary of Mathematical, Market and Model Terms
References
Author Index
Subject Index
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