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Calibrating Short Rate Models in Negative Interest Rate Environments: An Application to Bermudan Swaptions
Title
Calibrating Short Rate Models in Negative Interest Rate Environments: An Application to Bermudan Swaptions
Author
De Bles, Jasper
Date Created
2020
Description
AbstractCalibrating Short Rate Models in Negative Interest Rate Environments: An Application to Bermudan SwaptionsThe evolution of the interest rate has been modelled for a long time by a lognormal distribution. Similar to stock prices, it was gen...
Calibrating Short Rate Models in Negative Interest Rate Environments: An Application to Bermudan Swaptions
Title
Calibrating Short Rate Models in Negative Interest Rate Environments: An Application to Bermudan Swaptions
Author
De Bles, Jasper
Date Created
2020
Subjects--Topical
Finance
Description
AbstractCalibrating Short Rate Models in Negative Interest Rate Environments: An Application to Bermudan SwaptionsThe evolution of the interest rate has been modelled for a long time by a lognormal distribution. Similar to stock prices, it was gen...