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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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HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, October 10, 2025

HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, October 10, 2025

Oct 13, 2025 | Donald R. Van Deventer, Ph.D., Press Releases

The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...

HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, October 3, 2025

HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, October 3, 2025

Oct 6, 2025 | Donald R. Van Deventer, Ph.D., Press Releases

The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...

HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, September 26, 2025

HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, September 26, 2025

Sep 29, 2025 | Donald R. Van Deventer, Ph.D., Press Releases

The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...

HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, September 19, 2025

HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, September 19, 2025

Sep 22, 2025 | Donald R. Van Deventer, Ph.D., Press Releases

The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...

HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, September 12, 2025

HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, September 12, 2025

Sep 15, 2025 | Donald R. Van Deventer, Ph.D., Press Releases

The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...

HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, September 5, 2025

HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, September 5, 2025

Sep 10, 2025 | Donald R. Van Deventer, Ph.D., Press Releases

The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...

HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, August 15, 2025

HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, August 15, 2025

Aug 18, 2025 | Donald R. Van Deventer, Ph.D., Press Releases

The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...

HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, August 8, 2025

HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, August 8, 2025

Aug 9, 2025 | Donald R. Van Deventer, Ph.D., Press Releases

The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...

HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, August 1, 2025

HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, August 1, 2025

Aug 3, 2025 | Donald R. Van Deventer, Ph.D., Press Releases

The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...

HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, July 11, 2025

HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, July 11, 2025

Jul 14, 2025 | Donald R. Van Deventer, Ph.D., Press Releases

The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...

HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, June 27, 2025

HJM++© Correlated Government Yield and Foreign Exchange Rate Simulations for Asia-Pacific, Europe and North America, June 27, 2025

Jun 30, 2025 | Donald R. Van Deventer, Ph.D., Press Releases

The Heath, Jarrow and Morton [1992] framework for simulation and valuation using risk-free interest rates has been called “the...

SAS Weekly U.K. Gilt Yield and Pound Sterling Simulation, May 16, 2025: Median Scenario for the Pound One Year Forward is 1.3072

SAS Weekly U.K. Gilt Yield and Pound Sterling Simulation, May 16, 2025: Median Scenario for the Pound One Year Forward is 1.3072

May 20, 2025 | Donald R. Van Deventer, Ph.D., Press Releases

Summary One-month forward Gilt rates peaked at 6.64% this week, compared to 6.76% the previous week. The 2-year/10-year United...