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Modelling the magnitude of negative interest rates as depending on the deposited volume
The discounting curves are generally inferred from zero coupon bonds, especially for short rates, where such zero coupon bonds exist. Given the recent governmental negative interest rate bonds, this ...
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The observed negative interest rates should be modelled as the observed positive ones?
The presently observed negative interest rates for the recently emitted negative interest bonds by France, etc seem to increase in magnitude with the term. This might suggest that their modelling is ...
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Split in two the observed negative interest rates (theoretically always positive/negative)?
An autoregressive model to get the future evolution a non-jumpy evolution of the interest rates seems a good option , but not taking into account the possible future variations in credit rate states ...
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Bibliography and historical data relevant to negative interest rates modelling
For a project, I am interested to model the impact of recently negative interest bonds on the portfolio.
From this point of view, the literature I have found is limited.
I am asking for some ...
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Tutorial for working with tick data? [closed]
Can you recommend a good tutorial for working with tick data for the purpose of algorithmic trading?
Is the data normally stored in a database and only bits are read into memory at a time?
Is there ...
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Which to learn first (Numerical Methods or Statistical Methods)? [closed]
Do apologize for the newbie question im a youngin on the block. As I read more and more into finance and open my eyes to the world of mathematics there is more and more I see but being young I can ...
