In this paper, we propose a new exogenous model to address the problem of negative interest rates that preserves the analytical tractability of the original Cox-Ingersoll-Ross (CIR) model with a perfect fit to the observed term-structure. We use the difference between two independent CIR...

We present a semi-static replication algorithm for Bermudan swaptions under an affine, multi-factor term structure model. In contrast to dynamic replication, which needs to be continuously updated as the market moves, a semi-static replication needs to be rebalanced on just a finite number of...