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Discrete-Time Models of Bond Pricing / David Backus, Silverio Foresi, Chris I. Telmer.
- Format:
- Book
- Author/Creator:
- Backus, David.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w6736.
- NBER working paper series no. w6736
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1998.
- Summary:
- We explore a variety of models and approaches to bond pricing, including those associated with Vasicek, Cox-Ingersoll-Ross, Ho and Lee, and Heath-Jarrow-Morton, as well as models with jumps, multiple factors, and stochastic volatility. We describe each model in a common theoretical framework and explain the reasoning underlying the choice of parameter values. Our framework has continuous state variables but discrete time, which we regard as a convenient middle ground between the stochastic calculus of high theory and the binomial models of classroom fame. In this setting, most of the models we examine are easily implemented on a spreadsheet.
- Notes:
- Print version record
- September 1998.
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