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Models for rates close to zero
Hi, Do you know what models are used for pricing interest rates derivatives (I include bonds in the definition) when rates are very close to zero (and may be negative in real terms)?All models that assume lognormal forwards might be at pain to deal with such a situation. A Gaussian 2.5/3 factor model with suitably specified mean reversion? Does anyone know if there is any literature on Mixture models (eg gaussian rates in the very short term, then lognormal)?Thank you,Giacomo