Concepedia

Bond Pricing

Bond Pricing is a branch of asset pricing theory that specifies how to determine the fair value of a bond as the discounted present value of its expected future cash flows under an assumed term structure of interest rates and risk premia.

2.4K

Publications

224.1K

Citations

3.1K

Authors

1.3K

Institutions

Publications per year

2017–2026

404

Parents

Children

Publications

2.4K

ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*

Robert C. Merton · The Journal of Finance · 1974 · 11K citations · Full text

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Steven L. Heston · Review of Financial Studies · 1993 · 9.1K citations

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A Theory of the Term Structure of Interest Rates

John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.6K citations

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Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

David Heath, Robert A. Jarrow, A. J. Morton · Econometrica · 1992 · 3.2K citations

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A YIELD‐FACTOR MODEL OF INTEREST RATES

Darrell Duffie, Rui Kan · Mathematical Finance · 1996 · 2.6K citations

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1–5 of 2.4K

Authors

3.1K

  1. GD
    Glenn D. Rudebusch

    Federal Reserve Bank of San Francisco, United States

    30 publications · 3.8K citations

    25

    h-index

  2. ES
    Eduardo S. Schwartz

    University of California, Los Angeles, United States

    21 publications · 6.2K citations

    18

    h-index

  3. JY
    John Y. Campbell

    Harvard University, United States

    20 publications · 6K citations

    17

    h-index

  4. KJ
    Kenneth J. Singleton

    Stanford University, United States

    18 publications · 5.9K citations

    17

    h-index

  5. MP
    Monika Piazzesi

    University of Chicago, United States

    15 publications · 4.9K citations

    14

    h-index

1–5 of 3.1K

Institutions

1.3K

  1. National Bureau of Economic Research

    Cambridge, United States

    49 h-index

    201 publications

    19.9K citations

  2. Federal Reserve

    Washington D.C., United States

    33 h-index

    69 publications

    7.6K citations

  3. New York University

    New York, United States

    30 h-index

    78 publications

    5.4K citations

  4. Federal Reserve Board of Governors

    Washington D.C., United States

    29 h-index

    59 publications

    3.8K citations

  5. European Central Bank

    Frankfurt am Main, Germany

    27 h-index

    71 publications

    7.1K citations

  6. Centre for Economic Policy Research

    London, United Kingdom

    27 h-index

    54 publications

    3.5K citations

  7. Federal Reserve Bank of San Francisco

    San Francisco, United States

    25 h-index

    74 publications

    8K citations

  8. University of Pennsylvania

    Philadelphia, United States

    25 h-index

    43 publications

    7K citations

1–8 of 1.3K

Venues

  1. The Journal of Finance

    191 publications · 46K citations

    85

    h-index

  2. SSRN Electronic Journal

    Repository · 477 publications · 21.5K citations

    68

    h-index

  3. Journal of Financial and Quantitative Analysis

    JFQA · 77 publications · 10.4K citations

    47

    h-index

  4. Review of Financial Studies

    58 publications · 25.1K citations

    46

    h-index

  5. Journal of Banking & Finance

    74 publications · 5.9K citations

    38

    h-index

1–5