Silverio Foresi

Goldman Sachs Group, Inc. - Quantitative Strategy Group

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SCHOLARLY PAPERS

25

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10,176

SSRN CITATIONS
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Top 5,296

in Total Papers Citations

53

CROSSREF CITATIONS

152

Scholarly Papers (25)

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1.

Interest Rate Targeting and the Dynamics of Short-Term Rates

Downloads 4,525 ( 1,891)
Citation 1

Interest Rate Targeting and the Dynamics of Short-Term Rates

Number of pages: 30 Posted: 01 Feb 1997
Pierluigi Balduzzi, Giuseppe Bertola, Silverio Foresi and Leora F. Klapper
Boston College - Carroll School of Management, Centre for Economic Policy Research (CEPR), Goldman Sachs Group, Inc. - Quantitative Strategy Group and World Bank
Downloads 4,440 (1,912)
Citation 1

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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 54 (395,097)

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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
Pierluigi Balduzzi, Giuseppe Bertola, Silverio Foresi and Leora F. Klapper
Boston College - Carroll School of Management, Centre for Economic Policy Research (CEPR), Goldman Sachs Group, Inc. - Quantitative Strategy Group and World Bank
Downloads 31 (492,128)

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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
Pierluigi Balduzzi, Giuseppe Bertola, Silverio Foresi and Leora F. Klapper
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 1,639 (10,591)
Citation 7

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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 1,358 (14,257)
Citation 63

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

4.

The Central Tendency: A Second Factor in Bond Yields

Downloads 948 ( 24,381)
Citation 4

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 (29,069)
Citation 4

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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 37 (462,742)

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term structure

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 (467,346)

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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 24 (533,339)

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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 22 (546,358)

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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 504 (57,151)
Citation 13

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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 University of Cambridge
Downloads 252 (125,991)

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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 171 (181,492)

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8.

Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing

Downloads 126 (233,114)
Citation 14

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 76 (329,354)

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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 50 (409,284)

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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 (298,409)

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

10.

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 - Department of Economics and Finance
Downloads 76 (325,994)
Citation 13

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Asset pricing, generaized additive models, nonparametric methods

11.

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

Downloads 76 (325,994)

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 76 (329,354)

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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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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 71 (338,704)
Citation 1

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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 66 (352,169)

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14.

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

Downloads 22 (363,824)
Citation 34

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 22 (546,358)

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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 62 (363,824)
Citation 1

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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 (385,565)

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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 39 (444,140)

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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 (484,447)
Citation 1

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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 29 (489,395)

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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 23 (522,829)

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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, University of Cambridge and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 16 (565,214)

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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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25.

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

Downloads 0 (691,345)

'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

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