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 statistically the same. This is an evidence of integration of international financial markets.