Tag Archives: negative interest rates

The lognormal bridge

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