Research
Record Wealth Without Breadth
In the November 2025 newsletter, we examined how US household wealth changed after the release of ChatGPT. Household wealth rose...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, October 30, 2026
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...
SAS Weekly Treasury Simulation, October 30, 2026: Probability of 3-Month Bill Yield Over 4% in One Year Down 15% to 53%
Summary The probability that the yield on 10-year U.S. Treasuries is over 5% in one year is down 2% to 34% today. The...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, October 23, 2026
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...
SAS Weekly Treasury Simulation, October 23, 2026: Probability of 3-Month Bill Yield Over 4% in One Year Up 7% to 68%
Summary The probability that the yield on 10-year U.S. Treasuries is over 5% in one year is down4% to 36% today. The probability...
AI Credit Risk Dashboard Update
Neocloud credit risk has increased materially since our September dashboard launch, but modeled default probabilities remain...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, October 16, 2026
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...
SAS Weekly Treasury Simulation, October 16, 2026: Probability of 3-Month Bill Yield Over 4% in One Year Now at 61%
Summary The probability that the yield on 10-year U.S. Treasuries is over 5% in one year is at 40% today. The probability that...
Introducing AI Credit Pulse Index
The AI infrastructure buildout is a credit theme that extends beyond the technology sector. Computing capacity depends on...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, October 2, 2026
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...
SAS Weekly Treasury Simulation, October 2, 2026: Probability of 3-Month Bill Yield Over 4% in One Year Down 3% to 68%
Summary The probability that the yield on 10-year U.S. Treasuries is over 5% in one year is up 5% to 48% today. The probability...
OPTION PRICING WITH TIME-CHANGED FRACTIONAL BROWNIAN MOTION: A FRACTIONAL VARIANCE GAMMA MODEL
We are pleased to announce a new paper by Professors Robert Jarrow and Jayen Tan: OPTION PRICING WITH TIME-CHANGED FRACTIONAL...