A Two-Factor Model for Low Interest Rate Regimes

A Theory of the Term Structure of Interest Rates

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

Business, Economics, Finance +17

An equilibrium characterization of the term structure

Oldrich A Vasicek · Journal of Financial Economics · 1977 · 6.3K citations

Social Sciences, Economics, Microeconomics +7

Dynamic Asset Pricing Theory.

Jonathan E. Ingersoll, Darrell Duffie · The Journal of Finance · 1993 · 3.1K citations

Business, Economics, Finance +17

The pricing of commodity contracts

Fischer Black · Journal of Financial Economics · 1976 · 2.9K citations

Social Sciences, Contract Law, Economics +8

Pricing Interest-Rate-Derivative Securities

John Hull, Alan White · Review of Financial Studies · 1990 · 2.2K citations

Business, Economics, Finance +17