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. 

In this webinar, the speakers discuss the context for negative rates and the best approaches to modeling them, including:

• Model requirements for negative rates
• How to build curves in a negative interest rate environment
• Modeling vanilla swaptions: vol cube and shifted SABR, pros and cons
• Modeling rates exotics: shifted LMM, Hull-White, and others, pros and cons