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Foresi, Silverio's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
9,084 |
Total
Citations
322 |
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1.
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Interest Rate Targeting and the Dynamics of Short-Term Rates
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Bertola, Giuseppe
Università di Torino - Dipartimento di Economia Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group
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Posted:
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01 Feb 97
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Last Revised:
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09 Apr 10
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4,319
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19
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Bertola, Giuseppe
Università di Torino - Dipartimento di Economia Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group
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44
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18
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fed funds rates, expectation hypothesis, autocovariance functions
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Bertola, Giuseppe
Università di Torino - Dipartimento di Economia Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Klapper, Leora F.
World Bank
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22
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Bertola, Giuseppe
Università di Torino - Dipartimento di Economia Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Klapper, Leora F.
World Bank
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Bertola, Giuseppe
Università di Torino - Dipartimento di Economia Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Klapper, Leora F.
World Bank
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4,253
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2.
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Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Van Steenkiste, Regis
Salomon Smith Barney, Inc., U.S.
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1,547
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3.
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Backus, David K.
NYU Stern School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
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1,011
(9,110)
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31
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Currency options, skewness and kurtosis, Gram-Charlier expansions, implied volatility
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4.
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The Central Tendency: A Second Factor in Bond Yields
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Versions (6)
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Das, Sanjiv Ranjan
Santa Clara University - Leavey School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group
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Posted:
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26 Oct 95
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Last Revised:
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14 Mar 11
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911
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53
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Das, Sanjiv Ranjan
Santa Clara University - Leavey School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group
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09 Mar 11
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Last Revised:
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14 Mar 11
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Das, Sanjiv Ranjan
Santa Clara University - Leavey School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group
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29
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53
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term structure
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Das, Sanjiv Ranjan
Santa Clara University - Leavey School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group
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14
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53
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term structure
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Das, Sanjiv Ranjan
Santa Clara University - Leavey School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group
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20
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53
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term structure
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Das, Sanjiv Ranjan
Santa Clara University - Leavey School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group
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33
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53
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Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Balduzzi, Pierluigi
Boston College - Carroll School of Management Das, Sanjiv Ranjan
Santa Clara University - Leavey School of Business
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815
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53
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5.
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Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group
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388
(35,315)
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18
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Equity index options, market crashes, volatility smirk, maturity pattern, central limit theorem
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6.
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Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Balduzzi, Pierluigi
Boston College - Carroll School of Management Corsetti, Giancarlo
European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS)
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239
(62,036)
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7.
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Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing
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Versions (2)
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Backus, David K.
NYU Stern School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Zin, Stanley E.
Carnegie Mellon University
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Posted:
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13 Jul 00
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Last Revised:
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15 Dec 08
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109
(126,985)
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24
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Backus, David K.
NYU Stern School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Zin, Stanley E.
New York University (NYU)
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70
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15
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bond prices and yields, forward rates, time-dependent drift and volatility, options
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Backus, David K.
NYU Stern School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Zin, Stanley E.
Carnegie Mellon University
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39
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24
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8.
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Backus, David K.
NYU Stern School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Telmer, Chris
Carnegie Mellon University - David A. Tepper School of Business
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98
(136,920)
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32
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9.
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David, Backus
affiliation not provided to SSRN Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Zin, Stanley E.
Carnegie Mellon University
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72
(166,328)
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bond yields, options, fixed income derivatives, pricing kernels, state contingent claims, time-dependent drift volatility
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10.
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David, Backus
affiliation not provided to SSRN Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Telmer, Chris
affiliation not provided to SSRN
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65
(176,039)
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1
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forward and spot exchange rates, risk premiums, pricing kernels
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11.
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The Forward Premium Anomaly: Three Examples in Search of a Solution
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Versions (2)
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Backus, David K.
NYU Stern School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Telmer, Chris
Carnegie Mellon University - David A. Tepper School of Business
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Posted:
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22 Aug 98
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Last Revised:
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16 Dec 08
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50
(200,168)
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4
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Backus, David K.
NYU Stern School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Telmer, Chris
affiliation not provided to SSRN
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50
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4
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forward and spot exchange rates, risk premium, pricing kernels, bond pricing
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Backus, David K.
NYU Stern School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Telmer, Chris
Carnegie Mellon University - David A. Tepper School of Business
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0
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12.
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Backus, David K.
NYU Stern School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Telmer, Chris
Carnegie Mellon University - David A. Tepper School of Business
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49
(201,949)
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22
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13.
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A Model of Target Changes and the Term Structure of Interest Rates
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Show Abstracts |
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Versions (1)
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Bertola, Giuseppe
Università di Torino - Dipartimento di Economia Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group
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Posted:
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28 Dec 06
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Last Revised:
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18 Apr 08
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16
(203,830)
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33
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Bertola, Giuseppe
Università di Torino - Dipartimento di Economia Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group
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16
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33
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14.
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David, Backus
affiliation not provided to SSRN Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business
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43
(213,451)
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2
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term structure, skewness and kurtosis, multi-factors affine models, pricing kernels, consumption growth, inflation
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15.
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Backus, David K.
NYU Stern School of Business Wu, Liuren
City University of New York, CUNY Baruch College - Zicklin School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Mozumdar, Abon
Virginia Polytechnic Institute & State University - Department of Finance
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41
(217,486)
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57
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16.
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Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Peracchi, Franco
University of Rome II - Centre for International Studies on Economic Growth (CEIS)
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38
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11
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Asset pricing, generaized additive models, nonparametric methods
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17.
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group
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30
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18.
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Hait, David J.
OptionMetrics
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26
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7
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19.
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Bertola, Giuseppe
Università di Torino - Dipartimento di Economia Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group
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20
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8
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20.
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Corsetti, Giancarlo
European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS) Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group
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12
(303,279)
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fiscal retrenchments, government spending, policy regime, stock prices, term structure of interst rates, trigger point
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21.
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Bertola, Giuseppe
Università di Torino - Dipartimento di Economia Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group
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22.
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Chan, K.C.
Hong Kong University of Science & Technology (HKUST) - Department of Finance Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Lang, Larry H.P.
Chinese University of Hong Kong (CUHK) - Department of Finance
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23.
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Das, Sanjiv Ranjan
Santa Clara University - Leavey School of Business Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group
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24.
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'Price Barriers' and the Dynamics of Asset Prices in Equilibrium
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Show Abstracts |
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Versions (2)
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Hait, David J.
OptionMetrics
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Posted:
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06 Jun 95
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Last Revised:
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02 Feb 98
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Hait, David J.
OptionMetrics
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0
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Balduzzi, Pierluigi
Boston College - Carroll School of Management Foresi, Silverio
Goldman Sachs Group, Inc. - Quantitative Strategy Group Hait, David J.
OptionMetrics
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0
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