Insights from the research.
Technical writing on continuous-time risk analytics, yield curve dynamics, and the structural limits of discrete-time models. Written for practitioners who work with fixed-income risk every day.
Further analysis, in progress.
How shadow-rate extensions of Gaussian ATSMs handle zero-boundary constraints — and where they still fail under liquidity-driven dislocations.
An interpretability study of the Neural SDE's diffusion network — which yield maturities it learns to widen under stress, and how that maps onto realized regime behavior.
Why standard DV01 calculations built on GARCH-calibrated covariance matrices systematically understate duration exposure going into high-volatility periods.
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