Research
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...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, September 25, 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, September 25, 2026: Probability of 3-Month Bill Yield Over 4% in One Year Down 8% to 71%
Summary The probability that the yield on 10-year U.S. Treasuries is over 5% in one year is up 7% to 43% today. The probability...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, September 18, 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, September 18, 2026: Probability of 3-Month Bill Yield Over 4% in One Year Up 5% to 79%
Summary The probability that the yield on 10-year U.S. Treasuries is over 5% in one year is up 1% to 36% today. The probability...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, September 11, 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, September 11 2026: Probability of 3-Month Bill Yield Over 4% in One Year Up 8% to 74%
Summary The probability that the yield on 10-year U.S. Treasuries is over 5% in one year is up 7% to 35% today. The probability...
Interest Rate Hedging when Using a Multi-Factor Heath, Jarrow, and Morton Model: United Kingdom, September 4, 2026
Interest Rate Hedging when Using a Multi-Factor Heath, Jarrow, and Morton Model: United Kingdom, September 4, 2026 Donald R. van...
HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, September 4, 2026
The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...