Discrete-Time Models of Bond Pricing /
Backus, David.
Discrete-Time Models of Bond Pricing / David Backus, Silverio Foresi, Chris Telmer. - Cambridge, Mass. National Bureau of Economic Research 1998. - 1 online resource: illustrations (black and white); - NBER working paper series no. w6736 . - Working Paper Series (National Bureau of Economic Research) no. w6736. .
September 1998.
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.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.
Discrete-Time Models of Bond Pricing / David Backus, Silverio Foresi, Chris Telmer. - Cambridge, Mass. National Bureau of Economic Research 1998. - 1 online resource: illustrations (black and white); - NBER working paper series no. w6736 . - Working Paper Series (National Bureau of Economic Research) no. w6736. .
September 1998.
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.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.