The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
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A Multi-Factor Heath Jarrow and Morton Model of the Swedish Government Bond Yield Curve
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
A Multi-Factor Heath Jarrow and Morton Model of the Australia Commonwealth Government Securities Yield Curve
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
A Multi-Factor Heath Jarrow and Morton Model of the German Bund Yield Curve
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
A Multi-Factor Heath Jarrow and Morton Model of the United Kingdom Government Bond Yield Curve
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
Interest Rate Risk: Lessons from 2 Decades of Low Interest Rates in Japan
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
Model Validation for Asset and Liability Management: A Worked Example
The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
Sovereign Credit Default Swaps and the European Commission Short Sale Ban, July 10, 2010 through June 26, 2015
Trading volume in the bond and credit default swap markets, particularly the sovereign credit default swap market, is one of the...
Municipal Credit Default Swap Trading Volume, 2010 to June 26, 2015
The near-bankruptcy of Puerto Rico and the actual bankruptcy of Detroit brings even more pressure on municipal bond investors...
The 3 Month T-Bill Rate: Average of 100,000 Scenarios Down 0.06% to 3.40% in 2025
The author wishes to thank Prof. Robert Jarrow for many years of helpful conversations on this important topic. We thank the...
J. C. Penney Again Tops Non-Bank Corporate Credit Default Swap Trading Volume, 2010 to 2015
In this note, we focus on credit default swap trading volume in 1,056 non-bank corporate reference names for the 259 weeks from...
Banco Santander, S.A. Leads International Bank Credit Default Swap Trading Volume, 2010 to 2015
We previously analyzed the trading volume of credit default swaps on international bank reference names for the 233 weeks ending...