article

Martino Grasselli and Claudio Tebaldi


Finance Group (2004) : Bond Price and Impulse Response Function in the Balduzzi, Das, Foresi and Sundaram (1996) Model




Bond Price and Impulse Response Function in the Balduzzi, Das, Foresi and Sundaram (1996) Model

Martino Grasselli and Claudio Tebaldi




article

Economic Notes

In this paper, we analyse the Affine Term Structure Model (ATSM) proposed by Balduzzi, Das, Foresi and Sundaram (BDFS, 1996) and provide the closed-form expression of the bond price. In addition, we extend the notion of Impulse Response Function to the class of ATSM. We show that it is closely related to the duration measure, and we compute it explicitly in the BDFS model.

To cite this publication :


Giorgia Callegaro, Lucio Fiorin, Martino Grasselli: Quantized calibration in local volatility models. Dans: Risk Magazine, 9 , p. 62-67, 2015, ISSN: 0952-8776.





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