Econometrica · 1992 · 3.2K citations · 14 references
BusinessEconomicsFinanceFinancial EconomicsPricing TheoryStochastic ProcessesArbitrage PricingBond PricingInterest Rate DeterminationInterest Rate ModelingInterest Rate RiskOption PricingContingent Claim ValuationContingent Claims ValuationDefault-free Bond PricingForward Rate CurveNo-arbitrage Bond PricingNo-arbitrage Term Structure ModelsZero-coupon Bond PricingZero-coupon Bonds
David Heath, Robert Jarrow, Andrew Morton, Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation, Econometrica, Vol. 60, No. 1 (Jan., 1992), pp. 77-105
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A Theory of the Term Structure of Interest Rates
John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.6K citations
Two Singular Diffusion Problems
William Feller · Annals of Mathematics · 1951 · 889 citations