Overview
Walter N. Torous is a financial economist at the University of Michigan. His research focuses on fixed-income markets, bond pricing, and derivative securities.
Key Contributions / Features
- Ball and Torous (1983): Co-developed the Brownian bridge model of bond price dynamics and derived the first closed-form, preference-free European call/put option formula on default-free pure discount bonds.
- Ball and Torous (1985): Co-developed a jump-diffusion model for common stock prices and its impact on call option pricing.
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