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Paper / 2023SMQ / 36402199258913
Discounting the distant future: What do historical bond prices imply about the long term discount rate?
J. Doyne Farmer / Jaume Masoliver / John Geanakoplos / Josep Perelló / Matteo G. Richiardi / Miquel Montero
fixed income / interest ratesResource overview

Discounting the distant future: What do historical bond prices imply about the long term discount rate?

Paper2023

by J. Doyne Farmer, Jaume Masoliver, John Geanakoplos, Josep Perelló, Matteo G. Richiardi, Miquel Montero

Tags
fixed incomeinterest ratesstochastic processesterm structure models

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Suggested foundations for rates and fixed income and stochastic processes and pricing. Specialist prerequisites vary by paper.

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  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

  3. Conditional Expectation

    Understand what it means to condition on current information.

  4. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

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  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

  3. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

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