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 rate derivatives and bonds with models that assume non-negative rate dynamics.

In this presentation, the speakers will discuss 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