@techreport{NBERw6736,
 title = "Discrete-Time Models of Bond Pricing",
 author = "David Backus and Silverio Foresi and Chris Telmer",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "6736",
 year = "1998",
 month = "September",
 URL = "http://www.nber.org/papers/w6736",
 abstract = {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.},
}