| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6736 |
| 来源ID | Working Paper 6736 |
| Discrete-Time Models of Bond Pricing | |
| David Backus; Silverio Foresi; Chris I. Telmer | |
| 发表日期 | 1998-09-01 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w6736 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564244 |
| 推荐引用方式 GB/T 7714 | David Backus,Silverio Foresi,Chris I. Telmer. Discrete-Time Models of Bond Pricing. 1998. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w6736.pdf（1704KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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