Concepedia

Interest Rate Modeling

Interest Rate Modeling is a quantitative methodology within financial mathematics that specifies the evolution of interest rates over time through stochastic differential equations, distinguishing it from related asset pricing techniques by focusing on the dynamics of the term structure of interest rates.

3.2K

Publications

226.9K

Citations

3.7K

Authors

1.4K

Institutions

Publications per year

2017–2026

312

Parents

Children

Publications

3.2K

INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY

Michael Woodford, Carl E. Walsh · Macroeconomic Dynamics · 2005 · 5.8K citations

, , +12

ARCH modeling in finance

Tim Bollerslev, Ray Yeutien Chou, Kenneth F. Kroner · Journal of Econometrics · 1992 · 4.4K citations

, , +12

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

John Y. Campbell, Robert J. Shiller · Review of Financial Studies · 1988 · 4K citations · Full text

, , +13

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

, , +17

Time Varying Structural Vector Autoregressions and Monetary Policy

Giorgio E. Primiceri · The Review of Economic Studies · 2005 · 2.9K citations

, , +16

1–5 of 3.2K

Authors

3.7K

  1. GD
    Glenn D. Rudebusch

    Federal Reserve Bank of San Francisco, United States

    39 publications · 5.7K citations

    29

    h-index

  2. JC
    John C. Williams

    Federal Reserve, United States

    17 publications · 3K citations

    17

    h-index

  3. PR
    Peter Ritchken

    Case Western Reserve University, United States

    14 publications · 945 citations

    14

    h-index

  4. LW
    Liuren Wu

    Baruch College, United States

    16 publications · 588 citations

    13

    h-index

  5. TL
    Thomas Laubach

    Federal Reserve, United States

    13 publications · 2.6K citations

    13

    h-index

1–5 of 3.7K

Institutions

1.4K

  1. National Bureau of Economic Research

    Cambridge, United States

    54 h-index

    156 publications

    25.8K citations

  2. Federal Reserve

    Washington D.C., United States

    52 h-index

    192 publications

    18.9K citations

  3. Federal Reserve Board of Governors

    Washington D.C., United States

    47 h-index

    159 publications

    15.4K citations

  4. Federal Reserve Bank of San Francisco

    San Francisco, United States

    37 h-index

    99 publications

    13.3K citations

  5. Centre for Economic Policy Research

    London, United Kingdom

    35 h-index

    70 publications

    4.5K citations

  6. University of Chicago

    Chicago, United States

    32 h-index

    49 publications

    8.2K citations

  7. Columbia University

    New York, United States

    28 h-index

    48 publications

    6.3K citations

  8. European Central Bank

    Frankfurt am Main, Germany

    24 h-index

    58 publications

    3.4K citations

1–8 of 1.4K

Venues

  1. The Journal of Finance

    159 publications · 25.4K citations

    71

    h-index

  2. SSRN Electronic Journal

    Repository · 419 publications · 17.1K citations

    61

    h-index

  3. Journal of money credit and banking

    84 publications · 5.5K citations

    40

    h-index

  4. Journal of Monetary Economics

    63 publications · 7K citations

    36

    h-index

  5. RePEc: Research Papers in Economics

    Repository · 133 publications · 4.2K citations

    32

    h-index

1–5