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There is the white paper "New volatility conventions in negative interest environment - Current developments and necessary adjustments of IT systems in trading, risk management and accounting" by M. Beinker and H. Planck (2013), which discusses recent developments and also gives an introduction to the displaced diffusion modeldisplaced diffusion model, which can handle negative interest rates.

For more detail on the displace diffusion model, see "Volatility and Correlation: The Perfect Hedger and the Fox" by R. Rebonato which contains more detailed information in Chapter 16.

There is the white paper "New volatility conventions in negative interest environment - Current developments and necessary adjustments of IT systems in trading, risk management and accounting" by M. Beinker and H. Planck (2013), which discusses recent developments and also gives an introduction to the displaced diffusion model, which can handle negative interest rates.

For more detail on the displace diffusion model, see "Volatility and Correlation: The Perfect Hedger and the Fox" by R. Rebonato which contains more detailed information in Chapter 16.

There is the white paper "New volatility conventions in negative interest environment - Current developments and necessary adjustments of IT systems in trading, risk management and accounting" by M. Beinker and H. Planck (2013), which discusses recent developments and also gives an introduction to the displaced diffusion model, which can handle negative interest rates.

For more detail on the displace diffusion model, see "Volatility and Correlation: The Perfect Hedger and the Fox" by R. Rebonato which contains more detailed information in Chapter 16.

Source Link
user1157
user1157

There is the white paper "New volatility conventions in negative interest environment - Current developments and necessary adjustments of IT systems in trading, risk management and accounting" by M. Beinker and H. Planck (2013), which discusses recent developments and also gives an introduction to the displaced diffusion model, which can handle negative interest rates.

For more detail on the displace diffusion model, see "Volatility and Correlation: The Perfect Hedger and the Fox" by R. Rebonato which contains more detailed information in Chapter 16.