A new approach is proposed in this book for estimating a term structure of interest and it is applied to estimate a Chinese interest model. A case study of bond market of the USA, Japan and India is given as well. The findings concerning Chinese bond markets are that the market price of interest-rate risk is zero, term structure is downward sloping and shift downward as well; the performances of yields to maturities are influenced by saving rates of interest. The market prices of interest-rate risk for the USA, Japan and India are significantly different from zero, and in fact they are...