Today’s forecast for U.S. Treasury yields is based on the March 22, 2012 constant maturity Treasury yields that were reported by...
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March 16, 2012 Friday Forecast
Today’s forecast for U.S. Treasury yields is based on the March 15, 2012 constant maturity Treasury yields that were reported by...
Heath Jarrow and Morton Example Three: Modeling Interest Rates with Two Factors and Rate and Maturity-Dependent Volatility
In the first two blogs in this series, we provided worked examples of how to use the yield curve simulation framework of Heath,...
March 9, 2012 Friday Forecast
Today’s forecast for U.S. Treasury yields is based on the March 8, 2012 constant maturity Treasury yields that were reported by...
Heath Jarrow and Morton Example Two: Modeling Interest Rates with One Factor and Rate and Maturity-Dependent Volatility
In the first blog in this series, we provided a worked example of interest rate modeling and valuation using the Heath Jarrow...
Heath Jarrow and Morton Example One: Modeling Interest Rates with One Factor and Maturity-Dependent Volatility
In a recent series of blogs, Dickler, Jarrow and van Deventer reviewed 50 years of daily U.S. Treasury interest rate movements. ...
March 2, 2012 Friday Forecast
Today’s forecast for U.S. Treasury yields is based on the March 1, 2012 constant maturity Treasury yields that were reported by...
The Debate about Reduced Form Credit Models Versus the Merton Model is Over
On February 21, 2012, the Journal of Investment Management announced the winners of the Harry M. Markowitz award for the best...
February 24, 2012 Friday Forecast
Today’s forecast for U.S. Treasury yields is based on the February 23, 2012 constant maturity Treasury yields that were reported...
Volcker is Right. Prop Trading Kills
This blog entry originally appeared in the BankThink column on www.americanbanker.com on February 20, 2012. In a recent...
February 17, 2012 Friday Forecast
Today’s forecast for U.S. Treasury yields is based on the February 16, 2012 constant maturity Treasury yields that were reported...
February 10, 2012 Friday Forecast
Today’s forecast for U.S. Treasury yields is based on the February 9, 2012 constant maturity Treasury yields that were reported...