TY  - BOOK
AU  - Backus,David
AU  - Foresi,Silverio
AU  - Telmer,Chris
ED  - National Bureau of Economic Research.
TI  - Discrete-Time Models of Bond Pricing
T2  - NBER working paper series
PY  - 1998///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - September 1998; Hardcopy version available to institutional subscribers
N2  - 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
UR  - https://www.nber.org/papers/w6736
UR  - http://dx.doi.org/10.3386/w6736
ER  -