Once thought to be impossible, negative interest rates are now common in many European currencies. This presents a challenge for pricing and risk managing some rates derivatives and bonds with models that assume non-negative rate dynamics.
Join Russell Goyder, Director of Quantitative Research and Development at FINCAD to learn about the context for negative rates and the best approaches to modeling them and understanding their business impact, including:
- Model requirements for negative rates
- Building curves in a negative interest rate environment
- Modeling swaptions: vol cube and SABR modeling, pros and cons
- Interest rate modeling beyond swaptions
Russell Goyder, Director of Quantitative Research and Development, FINCAD
Before joining FINCAD’s quant team in 2006, Dr. Goyder worked as a consultant at The MathWorks, solving a wide range of problems in various industries, particularly in the financial industry. In his current role, Dr. Goyder manages FINCAD’s quant team and oversees the delivery of analytics functionality in FINCAD’s products, from initial research to the deployment of production code. Dr. Goyder holds a PhD in Physics from the University of Cambridge.
Matthew Streeter, Director of Quantitative Research and Development, FINCAD
Matthew Streeter, Capital Markets Strategist at FINCAD, has expertise in derivatives trading, structuring & pricing models as well as a background in operations, pension fund analysis, hedging strategies and PnL / performance reporting. He has held positions at JP Morgan, Société Generale, Wachovia Capital Markets, Bank of America and Deutsche Bank.