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About the Book
"The term Linear Gaussian Markov (LGM) model is used by Hagan in several papers concerning practical valuation schemes for a class of Bermudan swaptions. The LGM model is, precisely, the familiar Hull-White one factor model, but characterized in a different way to the classic short rate model description."
-- https://interestrate.pubpub.org/pub/3uchkuwx/release/2
This summary is mainly based on the following references:
[1] Patrick Hagan. “Single currency interest rate models”. Unpublished manuscript, available on Scribd.
[2] Patrick Hagan. “Calibration/pricing via the two factor LGM model”. Unpublished manuscript.
[3] Patrick Hagan. “Evaluating and hedging exotic swap instruments via LGM”. Unpublished manuscript,
available on Scribd.
[4] Patrick Hagan. “Pricing Bermudans”. Unpublished manuscript, available at ResearchGate.
[5] Patrick Hagan. “Equivalent Black volatilities”. Applied Mathematical Finance 6, 147-157 (1999).
About the Author
