Hippy people had a hopeful idea of what they wanted the world to be like, then most of them changed into corporate Yuppies. But I still have that hippy thing underneath somewhere. ↗
I so desperately hate to end these movies that the first thing I do when I'm done is write another one. Then I don't feel sad about having to leave and everybody going away. ↗
The real challenge was to model all the interest rates simultaneously, so you could value something that depended not only on the three-month interest rate, but on other interest rates as well. ↗
In the interest rate area, traders have for a long time used a version of what is known as Black's model for European bond options; another version of the same model for caps and floors; and yet another version of the same model for European swap options. ↗
The problem with interest rates are that you are not modeling a single number, you are modeling a whole term structure, so it is a sort of different type of problem. ↗
When interest rates are high you want the average direction in which interest rates are moving to be downward; when interest rates are low you want the average direction to be upward. ↗