Join Numerix and Dr. Alexandre Antonov, Risk Magazine’s Quant of the Year 2016 and SVP of Quantitative Research at Numerix for our complimentary series of one-day seminars in select cities around the globe—featuring presentations on the research that earned him this honor. Several stops on this upcoming seminar series will delve into the issue of negative interest rates, his Free Boundary SABR approach, and how financial technology must adjust to these new challenges. Those not focused on negative rates will introduce quantitative discussions on cutting edge topics, such as the Hot Start Initialization of the Heston Model.
The growing presence of negative rates is somewhat remarkable, when just five years ago the concept of negative interest rates was so implausible that most derivative pricing models were designed to work exclusively with positive rates. This new negative rate environment brings forth two prominent challenges – the quotation of option volatilities and volatility smile interpolation models, such as SABR.
One early approach to solve this issue was a shifted SABR that defined specific shift parameters to move rates into positive territory, but as rates continued to change and drop the limitations of this approach became apparent.
In his “revolutionary” research, Dr. Alexander Antonov goes beyond this crude-fix practice to devise a solution that no longer requires recalibration each time rates become too negative. This Free Boundary SABR approach helped him the honor of Risk Magazine’s Quant of the Year 2016.
Learn More about how to solve the derivative pricing and modelling challenges with this collection of research and insights on Negative Rates from Numerix experts.