Discrete Time Models of Bond Pricing David Backus Silvio Foresi Chris I Telmer 10.1184/R1/6705146.v1 https://kilthub.cmu.edu/articles/journal_contribution/Discrete_Time_Models_of_Bond_Pricing/6705146 We explore a variety of models and approaches to bond pricing, including those associated with Vasicek, Cox-Ingersoll-Ross, Ho and Lee,and Heath-Jarrow-Morton, as well as models with jumps, multiple factors, and stochastic volatility. We describe each model in a common theoretical framework and explain the reasoning underlying the choice of parameter values. Our framework has continuous state variables but discrete time, which we regard as a convenient middle ground between the stochastic calculus of high theory and the binomial models of classroom fame. In this setting, most of the models we examine are easily implemented on a spreadsheet. 2001-12-01 00:00:00 bond yields pricing kernels forward rates fixed income derivatives