This talk will cover the development of short rate modelling of interest rates over the last thirty years; assessing the strengths and weaknesses of the various approaches which have been proposed. In particular we consider: How analytically tractable is the model; How well can it be fitted to market data; in particular; volatility skew and smile and low/negative interest rate regimes? Can the model conveniently be extended to handle calculations involving compounded rates? Can it conveniently be extended to a multi-asset context to handle hybrid products?
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