Donald R. van Deventer[1] First Version: October 6, 2021 This Version: October 6, 2021 ABSTRACT Please note: Kamakura...
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Kamakura Weekly Forecast, October 1, 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 Russia Yield Curve, Using Daily Data from January 4, 2003 through August 31, 2021
Donald R. van Deventer[1] First Version: September 28, 2021 This Version: September 30, 2021 ABSTRACT Please note: Kamakura...
A 7-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Government of Canada Yield Curve, Using Daily Data from January 2, 2001 through August 31, 2021
Donald R. van Deventer[1] First Version: September 21, 2021 This Version: September 22, 2021 ABSTRACT Please note: Kamakura...
Kamakura Weekly Forecast, September 24, 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...
Kamakura Weekly Forecast, September 10, 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...
Kamakura Weekly Forecast, September 3, 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...
Model Validation: Proof that 1-factor Interest Rate Models Underestimate Risk by 61% to 83%
Model Validation: Proof that 1-factor Interest Rate Models Underestimate Risk by 61% to 83% Donald R. van Deventer[1] First...
A 10 Factor Heath, Jarrow and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from January 1, 1962 through December 31, 2020
A 10 Factor Heath, Jarrow and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from...
A 10-Factor Heath, Jarrow and Morton Model for the Japanese Government Bond Yield Curve, 1974 to 2018: The Impact of Negative Rates and Smoothing Issues
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the Japanese Government Bond yield...
A 10 Factor Heath, Jarrow and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from January 1, 1962 through December 31, 2018
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the U.S. Treasury yield curve from...
A 14 Factor Heath, Jarrow and Morton Model for the German Bund Yield Curve, January 1996 to March 2017
ABSTRACT This paper analyzes the number and the nature of factors driving the movements in the German Bund yield curve from...