Silverio Foresi

Goldman Sachs Group, Inc. - Quantitative Strategy Group

32 Old Slip, 24th Floor

New York, NY 10005

United States

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 3,751

SSRN RANKINGS

Top 3,751

in Total Papers Downloads

10,055

CITATIONS
Rank 1,695

SSRN RANKINGS

Top 1,695

in Total Papers Citations

331

Scholarly Papers (25)

Interest Rate Targeting and the Dynamics of Short-Term Rates

Number of pages: 30 Posted: 01 Feb 1997
Boston College - Carroll School of Management, Centre for Economic Policy Research (CEPR), Goldman Sachs Group, Inc. - Quantitative Strategy Group and World Bank
Downloads 4,429 (1,776)
Citation 20

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Interest Rate Targeting and the Dynamics of Short-Term Rates

NYU Working Paper No. FIN-94-011
Number of pages: 18 Posted: 11 Nov 2008
Pierluigi Balduzzi, Giuseppe Bertola and Silverio Foresi
Boston College - Carroll School of Management, Centre for Economic Policy Research (CEPR) and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 51 (384,089)
Citation 19

Abstract:

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fed funds rates, expectation hypothesis, autocovariance functions

Interest Rate Targeting and the Dynamics of Short-Term Rates

NBER Working Paper No. w5944
Number of pages: 36 Posted: 25 May 2006 Last Revised: 09 Apr 2010
Boston College - Carroll School of Management, Centre for Economic Policy Research (CEPR), Goldman Sachs Group, Inc. - Quantitative Strategy Group and World Bank
Downloads 29 (475,712)
Citation 20

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Interest Rate Targeting and the Dynamics of Short-Term Rates

Journal of Money, Credit and Banking, Vol. 30, No. 1 (1998)
Posted: 22 Mar 1998
Boston College - Carroll School of Management, Centre for Economic Policy Research (CEPR), Goldman Sachs Group, Inc. - Quantitative Strategy Group and World Bank

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2.

Arrow-Debreu Prices for Affine Models

Number of pages: 54 Posted: 26 Apr 1999
Silverio Foresi and Regis Van Steenkiste
Goldman Sachs Group, Inc. - Quantitative Strategy Group and Salomon Smith Barney, Inc., U.S.
Downloads 1,629 (9,903)

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3.

Accounting for Biases in Black-Scholes

Number of pages: 46 Posted: 03 Sep 2004
David K. Backus, Silverio Foresi and Liuren Wu
NYU Stern School of Business, Goldman Sachs Group, Inc. - Quantitative Strategy Group and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,317 (13,943)
Citation 34

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Currency options, skewness and kurtosis, Gram-Charlier expansions, implied volatility

4.
Downloads 944 ( 23,002)
Citation 53

The Central Tendency: A Second Factor in Bond Yields

Number of pages: 26 Posted: 26 Oct 1995
Silverio Foresi, Pierluigi Balduzzi and Sanjiv Ranjan Das
Goldman Sachs Group, Inc. - Quantitative Strategy Group, Boston College - Carroll School of Management and Santa Clara University - Leavey School of Business
Downloads 829 (27,321)
Citation 53

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The Central Tendency: A Second Factor in Bond Yields

NBER Working Paper No. w6325
Number of pages: 28 Posted: 27 Jun 2000 Last Revised: 04 Apr 2008
Pierluigi Balduzzi, Sanjiv Ranjan Das and Silverio Foresi
Boston College - Carroll School of Management, Santa Clara University - Leavey School of Business and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 36 (442,333)
Citation 53

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The Central Tendency: A Second Factor in Bond Yields

NYU Working Paper No. FIN-94-009
Number of pages: 14 Posted: 11 Nov 2008
Pierluigi Balduzzi, Sanjiv Ranjan Das and Silverio Foresi
Boston College - Carroll School of Management, Santa Clara University - Leavey School of Business and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 35 (446,735)
Citation 53

Abstract:

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term structure

The Central Tendency: A Second Factor in Bond Yields

NYU Working Paper No. FIN-96-012
Number of pages: 29 Posted: 07 Nov 2008
Pierluigi Balduzzi, Sanjiv Ranjan Das and Silverio Foresi
Boston College - Carroll School of Management, Santa Clara University - Leavey School of Business and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 23 (510,358)
Citation 53

Abstract:

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term structure

The Central Tendency: A Second Factor in Bond Yields

NYU Working Paper No. FIN-95-007
Number of pages: 23 Posted: 11 Nov 2008
Pierluigi Balduzzi, Sanjiv Ranjan Das and Silverio Foresi
Boston College - Carroll School of Management, Santa Clara University - Leavey School of Business and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 21 (522,949)
Citation 53

Abstract:

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term structure

The Central Tendency: A Second Factor in Bond Yields

Review of Economics and Statistics, Vol. 80, No. 1, 1998
Posted: 09 Mar 2011 Last Revised: 14 Mar 2011
Pierluigi Balduzzi, Sanjiv Ranjan Das and Silverio Foresi
Boston College - Carroll School of Management, Santa Clara University - Leavey School of Business and Goldman Sachs Group, Inc. - Quantitative Strategy Group

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5.

Crash-O-Phobia: A Domestic Fear or a Worldwide Concern?

Number of pages: 30 Posted: 03 Oct 2004
Liuren Wu and Silverio Foresi
City University of New York, CUNY Baruch College - Zicklin School of Business and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 495 (54,963)
Citation 20

Abstract:

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Equity index options, market crashes, volatility smirk, maturity pattern, central limit theorem

6.

Asset Values and Policy Changes: The Case of Denmark

Number of pages: 22 Posted: 18 Sep 1996
Silverio Foresi, Pierluigi Balduzzi and Giancarlo Corsetti
Goldman Sachs Group, Inc. - Quantitative Strategy Group, Boston College - Carroll School of Management and European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS)
Downloads 249 (120,451)

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7.

Discrete-Time Models of Bond Pricing

NBER Working Paper No. w6736
Number of pages: 38 Posted: 22 Oct 1998 Last Revised: 12 May 2000
David K. Backus, Silverio Foresi and Chris Telmer
NYU Stern School of Business, Goldman Sachs Group, Inc. - Quantitative Strategy Group and Carnegie Mellon University - David A. Tepper School of Business
Downloads 166 (176,208)
Citation 32

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Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing

NYU Working Paper No. FIN-94-005
Number of pages: 42 Posted: 11 Nov 2008
David K. Backus, Silverio Foresi and Stanley E. Zin
NYU Stern School of Business, Goldman Sachs Group, Inc. - Quantitative Strategy Group and New York University (NYU)
Downloads 73 (319,477)
Citation 15

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bond prices and yields, forward rates, time-dependent drift and volatility, options

Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing

NBER Working Paper No. w5638
Number of pages: 41 Posted: 13 Jul 2000 Last Revised: 25 Mar 2008
David K. Backus, Silverio Foresi and Stanley E. Zin
NYU Stern School of Business, Goldman Sachs Group, Inc. - Quantitative Strategy Group and Carnegie Mellon University
Downloads 47 (398,340)
Citation 24

Abstract:

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9.

Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing

NYU Working Paper No. FIN-96-008
Number of pages: 41 Posted: 07 Nov 2008
Backus David, Silverio Foresi and Stanley E. Zin
affiliation not provided to SSRN, Goldman Sachs Group, Inc. - Quantitative Strategy Group and Carnegie Mellon University
Downloads 88 (282,703)

Abstract:

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bond yields, options, fixed income derivatives, pricing kernels, state contingent claims, time-dependent drift volatility

The Forward Premium Anomaly: Three Examples in Search of a Solution

NYU Working Paper No. FIN-94-006
Number of pages: 32 Posted: 11 Nov 2008
David K. Backus, Silverio Foresi and Chris Telmer
NYU Stern School of Business, Goldman Sachs Group, Inc. - Quantitative Strategy Group and affiliation not provided to SSRN
Downloads 72 (321,916)
Citation 4

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forward and spot exchange rates, risk premium, pricing kernels, bond pricing

The Forward Premium Anomaly: Three Examples in Search of a Solution

Posted: 22 Aug 1998
David K. Backus, Silverio Foresi and Chris Telmer
NYU Stern School of Business, Goldman Sachs Group, Inc. - Quantitative Strategy Group and Carnegie Mellon University - David A. Tepper School of Business

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11.

The Conditional Distribution of Excess Returns: An Empirical Analysis

NYU Working Paper No. FIN-94-033
Number of pages: 48 Posted: 11 Nov 2008
Silverio Foresi and Franco Peracchi
Goldman Sachs Group, Inc. - Quantitative Strategy Group and University of Rome Tor Vergata - Centre for International Studies on Economic Growth (CEIS)
Downloads 70 (323,333)
Citation 11

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Asset pricing, generaized additive models, nonparametric methods

12.

Affine Models of Currency Pricing

NYU Working Paper No. FIN-96-009
Number of pages: 41 Posted: 07 Nov 2008
Backus David, Silverio Foresi and Chris Telmer
affiliation not provided to SSRN, Goldman Sachs Group, Inc. - Quantitative Strategy Group and affiliation not provided to SSRN
Downloads 70 (323,333)

Abstract:

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forward and spot exchange rates, risk premiums, pricing kernels

13.

Affine Models of Currency Pricing

NBER Working Paper No. w5623
Number of pages: 42 Posted: 28 Apr 1998 Last Revised: 09 Apr 2010
David K. Backus, Silverio Foresi and Chris Telmer
NYU Stern School of Business, Goldman Sachs Group, Inc. - Quantitative Strategy Group and Carnegie Mellon University - David A. Tepper School of Business
Downloads 63 (341,846)
Citation 24

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A Model of Target Changes and the Term Structure of Interest Rates

NBER Working Paper No. w4347
Number of pages: 38 Posted: 28 Dec 2006 Last Revised: 18 Apr 2008
Pierluigi Balduzzi, Giuseppe Bertola and Silverio Foresi
Boston College - Carroll School of Management, Centre for Economic Policy Research (CEPR) and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 20 (529,189)
Citation 35

Abstract:

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15.

Predictable Changes in Yields and Forward Rates

NBER Working Paper No. w6379
Number of pages: 46 Posted: 17 Jul 2000 Last Revised: 09 Apr 2010
David K. Backus, Liuren Wu, Silverio Foresi and Abon Mozumdar
NYU Stern School of Business, City University of New York, CUNY Baruch College - Zicklin School of Business, Goldman Sachs Group, Inc. - Quantitative Strategy Group and Virginia Polytechnic Institute & State University - Department of Finance
Downloads 58 (356,057)
Citation 56

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16.

Macroeconomic Foundations of Higher Moments in Bond Yields

NYU Working Paper No. FIN-96-010
Number of pages: 21 Posted: 07 Nov 2008
Backus David, Silverio Foresi and Liuren Wu
affiliation not provided to SSRN, Goldman Sachs Group, Inc. - Quantitative Strategy Group and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 55 (365,220)
Citation 2

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term structure, skewness and kurtosis, multi-factors affine models, pricing kernels, consumption growth, inflation

17.

Money, Transactions, and Portfolio Choice

NYU Working Paper No. FIN-94-007
Number of pages: 16 Posted: 11 Nov 2008
Pierluigi Balduzzi and Silverio Foresi
Boston College - Carroll School of Management and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 37 (428,528)

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18.

"Price Barriers" and the Dynamics of Asset Prices in Equilibrium

NYU Working Paper No. FIN-96-011
Number of pages: 27 Posted: 07 Nov 2008
Pierluigi Balduzzi, Silverio Foresi and David J. Hait
Boston College - Carroll School of Management, Goldman Sachs Group, Inc. - Quantitative Strategy Group and OptionMetrics
Downloads 30 (458,555)
Citation 7

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19.

Asset Price Dynamics and Infrequent Trades

NYU Working Paper No. FIN-94-013
Number of pages: 24 Posted: 11 Nov 2008
Pierluigi Balduzzi, Giuseppe Bertola and Silverio Foresi
Boston College - Carroll School of Management, Centre for Economic Policy Research (CEPR) and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 27 (473,253)
Citation 8

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20.

Estimating the Cost of U.S. Indexed Bonds

FRB of Cleveland Working Paper No. 9701
Number of pages: 29 Posted: 17 Jan 2015
Silverio Foresi, Alessandro Penati and George Pennacchi
Goldman Sachs Group, Inc. - Quantitative Strategy Group, Catholic University of the Sacred Heart of Milan and University of Illinois
Downloads 22 (500,450)
Citation 1

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21.

The Simple Analytics of Assets' Values and Infrequent Policy Changes

NYU Working Paper No. FIN-94-010
Number of pages: 24 Posted: 11 Nov 2008
Pierluigi Balduzzi, Giancarlo Corsetti and Silverio Foresi
Boston College - Carroll School of Management, European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS) and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 14 (546,403)

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fiscal retrenchments, government spending, policy regime, stock prices, term structure of interst rates, trigger point

22.

Asset Price Dynamics and Infrequent Feedback Trades

J. OF FINANCE, Vol. 50 No. 5, December 1995
Posted: 14 May 1998
Pierluigi Balduzzi, Giuseppe Bertola and Silverio Foresi
Boston College - Carroll School of Management, Centre for Economic Policy Research (CEPR) and Goldman Sachs Group, Inc. - Quantitative Strategy Group

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23.

Does Money Explain Asset Returns? Theory and Empirical Analysis

J. OF FINANCE, Vol. 51 No. 1
Posted: 05 May 1998
K.C. Chan, Silverio Foresi and Larry H.P. Lang
Hong Kong University of Science & Technology (HKUST) - Department of Finance, Goldman Sachs Group, Inc. - Quantitative Strategy Group and The Chinese University of Hong Kong (CUHK) - Department of Finance

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24.

Exact Solutions for Bond and Option Prices with Systematic Jump Risk

REVIEW OF DERIVATIVES RESEARCH, Vol. 1 No. 1
Posted: 14 Apr 1998
Sanjiv Ranjan Das and Silverio Foresi
Santa Clara University - Leavey School of Business and Goldman Sachs Group, Inc. - Quantitative Strategy Group

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'Price Barriers' and the Dynamics of Asset Prices in Equilibrium

Journal of Financial and Quantitative Analysis, June 1997
Posted: 18 Jun 1997
Pierluigi Balduzzi, Silverio Foresi and David J. Hait
Boston College - Carroll School of Management, Goldman Sachs Group, Inc. - Quantitative Strategy Group and OptionMetrics

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'Price Barriers' and the Dynamics of Asset Prices in Equilibrium

Posted: 06 Jun 1995
Pierluigi Balduzzi, Silverio Foresi and David J. Hait
Boston College - Carroll School of Management, Goldman Sachs Group, Inc. - Quantitative Strategy Group and OptionMetrics

Abstract:

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