Tag Archives: negative interest rates
The Lognormal Bridge
This note discusses the use of a “lognormal bridge” to estimate interest rate statistics and to calculate HVAR.
July 20, 2020
Negative Interest Rates
Negative interest rates are a new and strange phenomenon. This concept causes a lot of head scratching, particularly regarding option valuation and VAR calculation, since the lognormal paradigm, applied for the last thirty years, breaks down.
July 21, 2016