Concepedia

Bond Pricing Models

Bond Pricing Model is a mathematical framework within interest rate modeling that specifies the present value of a bond by discounting its future cash flows using stochastic or deterministic interest rate processes to account for time and risk factors inherent in fixed-income securities.

510

Publications

49.7K

Citations

723

Authors

439

Institutions

Publications per year

2017–2026

60

Variants

Bond Pricing Model

Parents

Publications

510

A Theory of the Term Structure of Interest Rates

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

, , +17

A YIELD‐FACTOR MODEL OF INTEREST RATES

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

, , +17

Modeling Term Structures of Defaultable Bonds

Darrell Duffie, Kenneth J. Singleton · Review of Financial Studies · 1999 · 2.6K citations

, , +16

Yield Spreads and Interest Rate Movements: A Bird's Eye View

John Y. Campbell, Robert J. Shiller · The Review of Economic Studies · 1991 · 1.8K citations · Full text

, , +15

A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options

Fischer Black, Emanuel Derman, William W. Toy · Financial Analysts Journal · 1990 · 994 citations

, , +13

1–5 of 510

Authors

723

  1. ES
    Eduardo S. Schwartz

    University of California, Los Angeles, United States

    10 publications · 2.4K citations

    10

    h-index

  2. GD
    Glenn D. Rudebusch

    Federal Reserve Bank of San Francisco, United States

    10 publications · 1.2K citations

    10

    h-index

  3. JY
    John Y. Campbell

    Harvard University, United States

    7 publications · 2.5K citations

    7

    h-index

  4. KJ
    Kenneth J. Singleton

    Stanford University, United States

    7 publications · 3.3K citations

    7

    h-index

  5. RJ
    Robert J. Elliott

    University of Calgary, Canada

    6 publications · 213 citations

    6

    h-index

1–5 of 723

Institutions

439

  1. National Bureau of Economic Research

    Cambridge, United States

    23 h-index

    43 publications

    3.8K citations

  2. Federal Reserve

    Washington D.C., United States

    16 h-index

    28 publications

    3.1K citations

  3. New York University

    New York, United States

    13 h-index

    18 publications

    865 citations

  4. Federal Reserve Board of Governors

    Washington D.C., United States

    13 h-index

    18 publications

    1.6K citations

  5. Centre for Economic Policy Research

    London, United Kingdom

    11 h-index

    12 publications

    1K citations

  6. Stanford University

    Stanford, United States

    11 h-index

    14 publications

    9K citations

  7. Federal Reserve Bank of San Francisco

    San Francisco, United States

    10 h-index

    18 publications

    2.6K citations

  8. University of Pennsylvania

    Philadelphia, United States

    9 h-index

    13 publications

    1.4K citations

1–8 of 439

Venues

  1. SSRN Electronic Journal

    Repository · 105 publications · 5.7K citations

    38

    h-index

  2. The Journal of Finance

    31 publications · 4.6K citations

    24

    h-index

  3. Journal of Financial and Quantitative Analysis

    JFQA · 18 publications · 2.1K citations

    16

    h-index

  4. Review of Financial Studies

    15 publications · 6.2K citations

    14

    h-index

  5. Mathematical Finance

    15 publications · 4.2K citations

    13

    h-index

1–5