Analytic valuation formulas for range notes and an affine term structure model with jump risks

A Theory of the Term Structure of Interest Rates

John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.5K citations

Empirical Finance, Monetary Policy, Economics +10

An equilibrium characterization of the term structure

Oldrich A Vasicek · Journal of Financial Economics · 1977 · 6.2K citations

Equilibrium Characterization, Dynamic Equilibrium, General Equilibrium Theory +4

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

Transform Analysis and Asset Pricing for Affine Jump-diffusions

Darrell Duffie, Jun Pan, Kenneth J. Singleton · Econometrica · 2000 · 2.9K citations

A YIELD‐FACTOR MODEL OF INTEREST RATES

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

Yield‐factor Model, Economics, Multivariate Stochastic Volatility +13