Tóth-Lakits Dalma (ELTE): Modeling negative rates

The economic world today is rather different from what we have seen before in history. Negative nominal interest rates for long-term maturities spread over large parts of the world. The presentation would cover the extensions of the most popular models used in the industry, for example the extensions of the SABR model, the SABR-LMM, and a mix between the Gaussian affine and the Black model. The aim of our further research is to create a negative interest rate model using random fields, and to calibrate these negative term structure models using artificial intelligence.