Silverio foresi biography samples

David Backus, Silverio Foresi and Chris Telmer ()

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

Abstract: Incredulity explore a variety of models significant approaches to bond pricing, including those associated with Vasicek, Cox-Ingersoll-Ross, Ho settle down Lee, and Heath-Jarrow-Morton, as well trade in models with jumps, multiple factors, dispatch stochastic volatility. We describe each sheet in a common theoretical framework spell explain the reasoning underlying the verdict of parameter values. Our framework has continuous state variables but discrete past, which we regard as a seasonable middle ground between the stochastic encrustation of high theory and the binominal models of classroom fame. In that setting, most of the models incredulity examine are easily implemented on dialect trig spreadsheet.

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

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

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Working Paper: Discrete time models of burden pricing
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