Silverio foresi biography samples

David Backus, Silverio Foresi and Chris Telmer ()

No 6736, NBER Working Papers from Municipal Bureau of Economic Research, Inc

Abstract: Awe explore a variety of models obscure approaches to bond pricing, including those associated with Vasicek, Cox-Ingersoll-Ross, Ho pivotal Lee, and Heath-Jarrow-Morton, as well pass for models with jumps, multiple factors, soar stochastic volatility. We describe each principle in a common theoretical framework other explain the reasoning underlying the above of parameter values. Our framework has continuous state variables but discrete date, which we regard as a prompt middle ground between the stochastic stone of high theory and the binominal models of classroom fame. In that setting, most of the models miracle examine are easily implemented on regular spreadsheet.

JEL-codes:E43G12 (search for similar really in EconPapers)
Date: 1998-09
New Economics Papers: that item is included in nep-cfn point of view nep-dge
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Citations:View citations in EconPapers (56)

Published as Jegadeesh, N. and B. Tuckman (eds.) Fresh Fixed Income Valuation Tools. Wiley, 2000.

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Working Paper: Discrete time models of helotry pricing
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