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

16 Pages Posted: 14 Apr 2005

See all articles by Martino Grasselli

Martino Grasselli

University of Padova - Department of Mathematics; Léonard de Vinci Pôle Universitaire, Research Center

Claudio Tebaldi

Bocconi University - CAREFIN - Centre for Applied Research in Finance; Bocconi University - Department of Finance; Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research

Abstract

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.

Suggested Citation

Grasselli, Martino and Tebaldi, Claudio, Bond Price and Impulse Response Function for the Balduzzi, Das, Foresi and Sundaram (1996) Model. Available at SSRN: https://ssrn.com/abstract=704045

Martino Grasselli (Contact Author)

University of Padova - Department of Mathematics ( email )

Via Trieste 63
Padova, Padova
Italy

Léonard de Vinci Pôle Universitaire, Research Center ( email )

Paris La Défense
France

Claudio Tebaldi

Bocconi University - CAREFIN - Centre for Applied Research in Finance ( email )

Via Roentgen 1
Milan, 20136
Italy

Bocconi University - Department of Finance ( email )

Via Roentgen 1
Milano, MI 20136
Italy

Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research ( email )

Via Roentgen 1
Milan, 20136
Italy

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