Sweden Archives - SAS Risk Data and Analytics

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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 12-Factor Heath, Jarrow, and Morton Stochastic Volatility Model For 13-Country `World’ Government Bonds, Using Daily Data from January 1, 1962 through September 30, 2021

A 12-Factor Heath, Jarrow, and Morton Stochastic Volatility Model For 13-Country `World’ Government Bonds, Using Daily Data from January 1, 1962 through September 30, 2021

Oct 22, 2021 | Donald R. Van Deventer, Ph.D., Press Releases

Donald R. van Deventer[1] First Version: October 19, 2021 This Version: October 21, 2021 ABSTRACT Please note: Kamakura...