As explained in Prof. Robert Jarrow’s book cited below, forward rates contain a risk premium above and beyond the market’s expectations for the 3-month forward rate. We document the size of that risk ...

As was almost universally expected, the U.S. Federal Reserve Wednesday left its benchmark fed funds rate range steady at 4.25%-4.5%. In a rare departure from norms ...

Given a parametric family of regenerative processes on a common probability space, we investigate when the derivatives (with respect to the parameter) are regenerative. We primarily consider sequences ...