This chapter describes the theory of long-dates bond yields. The main feature of long-bond yields is that they reflect a convexity effect. Analysts have attempted to explain the convexity effects of long-bond yields in a number of ways. These are discussed first. We then consider the volatility and convexity bias that is observed in long-bond yields. The chapter also illustrates the pricing of a long bond, in which long-dated forward rates have very little influence on the prices of bonds. This reflects the relationship between spot and forward rates, the former being an average of the latter to the longest maturity. The chapter concludes with an analysis of the convexity bias.