Negative Rates: New Market Practice

DOI10.1007/978-3-319-61282-9_4zbMath1420.91468OpenAlexW2756403844MaRDI QIDQ4626492

J. Kienitz

Publication date: 28 February 2019

Published in: Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-61282-9_4

zbMATH Keywords

SABR modeloption pricing modelsnegative rates

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• Unnamed Item

Cites Work

• Equivalent Black volatilities
• Modern SABR Analytics

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