In Battle to Recruit New Quants, Hedge Funds Outpay Banks

Re:In Battle to Recruit New Quants, Hedge Funds Outpay Banks by candiodari on Sunday December 29, 2019 @07:07PM (#21909604)

I thought now with securities with negative interest there were a lot of securities that now had to take that into account and black-scholes is just no help whatsoever there.

Is there any answer to it yet ?

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Re:In Battle to Recruit New Quants, Hedge Funds Outpay Banks by JumpCrisscross on Sunday December 29, 2019 @08:21PM (#21909961)

> with negative interest there were a lot of securities that now had to take that into account and black-scholes is just no help whatsoever there

Not really. Black-Scholes (and its variants) tend to assume log-normal rates distributions. But that’s just a default, and one chosen with the explicit assumption of positive rates.

Most practitioners have had custom curves for decades; using one that pierces zero is a trivial modification.

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