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ABOUT THE AUTHOR

Donald R. Van Deventer, Ph.D.

Don founded Kamakura Corporation in April 1990 and currently serves as Co-Chair, Center for Applied Quantitative Finance, Risk Research and Quantitative Solutions at SAS. Don’s focus at SAS is quantitative finance, credit risk, asset and liability management, and portfolio management for the most sophisticated financial services firms in the world.

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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, 2021

Jan 25, 2022 | Donald R. Van Deventer, Ph.D., Press Releases

Donald R. van Deventer First Version: January 24, 2022 This Version: January 25, 2022 ABSTRACT Please note: Kamakura...

How Well Do U.S. Treasury Yields Forecast Inflation? An Update Through December 31, 2021

Jan 18, 2022 | Donald R. Van Deventer, Ph.D., Press Releases

Donald R. van Deventer January 18, 2022 With inflation obviously on the rise, any rational investor should be asking “How well...

Kamakura Weekly Forecast, January 14, 2022: U.S. Treasury Probabilities 10 Years Forward

Jan 16, 2022 | Donald R. Van Deventer, Ph.D., Press Releases

This week’s simulation shows that the most likely range for the 3-month U.S. Treasury bill yield in ten years is from 0% to 1%. ...

Kamakura Weekly Forecast January 7, 2022: U.S. Treasury Probabilities 10 Years Forward

Jan 9, 2022 | Donald R. Van Deventer, Ph.D., Press Releases

This week’s simulation shows that the most likely range for the 3-month U.S. Treasury bill yield in ten years is from 0% to 1%. ...

A 15-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the United Kingdom Government Bond Yield Curve, Using Daily Data from January 2, 1979 through November 30, 2021

Jan 6, 2022 | Donald R. Van Deventer, Ph.D., Press Releases

A 15-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the United Kingdom Government Bond Yield Curve, Using...

Kamakura Weekly Forecast, December 31, 2021: U.S. Treasury Probabilities 10 Years Forward

An 8-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Japanese Government Bond Yield Curve, Using Daily Data from September 24, 1974 through November 30, 2021

Dec 7, 2021 | Donald R. Van Deventer, Ph.D., Press Releases

Donald R. van Deventer[1] First Version: December 6, 2021 This Version: December 7, 2021 ABSTRACT Please note: Kamakura...

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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, 2021

How Well Do U.S. Treasury Yields Forecast Inflation? An Update Through December 31, 2021

Kamakura Weekly Forecast, January 14, 2022: U.S. Treasury Probabilities 10 Years Forward

Kamakura Weekly Forecast January 7, 2022: U.S. Treasury Probabilities 10 Years Forward

A 15-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the United Kingdom Government Bond Yield Curve, Using Daily Data from January 2, 1979 through November 30, 2021

Kamakura Weekly Forecast, December 31, 2021: U.S. Treasury Probabilities 10 Years Forward

Kamakura Weekly Forecast, December 23, 2021: U.S. Treasury Probabilities 10 Years Forward

Kamakura Weekly Forecast, December 17, 2021: U.S. Treasury Probabilities 10 Years Forward

Kamakura Weekly Forecast, December 10, 2021: U.S. Treasury Probabilities 10 Years Forward

An 8-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Japanese Government Bond Yield Curve, Using Daily Data from September 24, 1974 through November 30, 2021

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