Donald R. van Deventer[1] First Version: November 18, 2021 This Version: November 30, 2021 ABSTRACT Please note: Kamakura...
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Kamakura Weekly Forecast, November 26, 2021: U.S. Treasury Probabilities 10 Years Forward
In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...
An 11-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Government of Spain Yield Curve, Using Daily Data from July 1, 1987 through October 31, 2021
Donald R. van Deventer[1] First Version: November 22, 2021 This Version: November 23, 2021 ABSTRACT Please note: Kamakura...
Kamakura Weekly Forecast, November 19, 2021: U.S. Treasury Probabilities 10 Years Forward
In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...
Banking on Bonds
Banking on Bonds A recent Wall Street Journal article[1] noted that trading activity in bank bonds, including bank holding...
Kamakura Weekly Forecast, November 12, 2021: U.S. Treasury Probabilities 10 Years Forward
In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...
The Valuation of Corporate Coupon Bonds∗
Jens Hilscher†, Robert A. Jarrow‡, and Donald R. van Deventer§ November 9, 2021 Abstract This paper shows that, for a sample of...
Kamakura Weekly Forecast, November 5, 2021: U.S. Treasury Probabilities 10 Years Forward
In a recent post on SeekingAlpha, we pointed out that a forecast of “heads” or “tails” in a coin flip leaves out critical...