Thai Bond Market Association 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 Thailand Government Securities Yield Curve, Using Daily Data from September 15, 1999 through October 31, 2021

An 11-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the Thailand Government Securities Yield Curve, Using Daily Data from September 15, 1999 through October 31, 2021

Feb 23, 2022 | Donald R. Van Deventer, Ph.D., Press Releases

Donald R. van Deventer[1] First Version: February 22, 2022 This Version: February 23, 2022 ABSTRACT Please note: Kamakura...