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In my first job in finance, I worked for a professor who was developing what at the time became the first model to accurately price bond options. As we visited
by bwanab 11y ago
In my first job in finance, I worked for a professor who was developing what at the time became the first model to accurately price bond options. As we visited potential clients, one of the common complaints from their quants was that the model allowed for the possibility of negative interest rates. Alas, that was back in the days of 10+% rates in the US so I guess negative rates seemed like a pretty remote chance.
- chollida1 11y agoMy email is in my user details. I'd love to hear about the models you helped develop. I wasn't in the industry in the 80's due to being way too young, but I've gone through the early work that was done in the early 80's on bond option pricing and some of the newer papers that have come out in the mid 2000's. Would love it if you could point me to the research you worked on.