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

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

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