[{"_1":2,"_46":-5,"_47":-5},"loaderData",{"_3":4,"_14":15,"_44":-5,"_45":-5},"root",{"_5":-5,"_6":-5,"_7":-5,"_8":9,"_10":11},"user","shoppingCartId","toast","locale","en","constants",{"_12":13},"paypalClientId","AenrHU49peF-ZUH-Yq7AXLLNZYGUGlml474U16NCjB4ZznmQCEjiliN3whyuVZmkb7VxEzmTALgtKEKE","routes/_store+/_readers+/email_author.$slug/route",{"_16":17,"_43":-5},"book",{"_18":19,"_20":21,"_22":23,"_24":25,"_26":27,"_28":29},"id","Z2lkOi8vbGVhbnB1Yi9TdG9yZTo6Qm9va1Byb2R1Y3QvNTcxNDE","title","SQF8: Elements of the LGM Model","state","published","contactAuthorMethod","email","aboutText","

\"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 Unpublished manuscript, available on Scribd.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 Unpublished manuscript.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 Unpublished manuscript,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 Unpublished manuscript, available at ResearchGate.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).

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