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JackFr
on Sept 30, 2019
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Negative Rates Are Rewriting the Rules of Modern F...
Japanese rates have been negative or near zero a number of times over the past 20+ years. This is not a new problem.
I know in 2002 Nomura Securities was using some extension of the SABR vol model to address it.
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I know in 2002 Nomura Securities was using some extension of the SABR vol model to address it.