Russia Archives - SAS Risk Data and Analytics

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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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

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

Sep 30, 2021 | Donald R. Van Deventer, Ph.D., Press Releases

Donald R. van Deventer[1] First Version: September 28, 2021 This Version: September 30, 2021 ABSTRACT Please note: Kamakura...