May 24, 2016

Global Derivatives: Alexander Antonov: What should we do about negative rates?

Alexander Antonov, quant of the year 2016 and Senior Vice President of Quantitative Research at Numerix dives into negative rates with Colin Williams, Director Of Business Development at D-Wave Systems. They discuss the effects of the central banks' policies on negative rates, the consequence for financial software, and the models that we should be using.

Blog Post - Apr 13, 2010

LIBOR Market Models for Smile-Dependent Exotics

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