TY  - JOUR
AU  - Backus,David
AU  - Foresi,Silverio
AU  - Telmer,Chris
TI  - Discrete-Time Models of Bond Pricing
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 6736
PY  - 1998
Y2  - September 1998
UR  - http://www.nber.org/papers/w6736
L1  - http://www.nber.org/papers/w6736.pdf
N1  - Author contact info:
David Backus
Stern School of Business
NYU
44 West 4th Street
New York, NY 10012-1126
Tel: 212/998-0873
Fax: 212/995-4221
E-Mail: dbackus@stern.nyu.edu

Silverio Foresi
Salomon Smith Barney
Emerging Markets Derivatives and
Structured Products
388 Greenwich Street
11th Floor
New York, NY  10013
AB  - 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.
ER  -