J.J. Hill. His company issued the first convertible.
Meyer Weinstein. He was one of the first to hedge convertibles with other securities. Using heuristic techniques.
E.O. Thorp. He showed a mathematical approach to valuing a convertible as a bond converting into a warrant.
Fischer Black. He got a CAPM-friendly solution to the pricing of a call warrant and in return got a call on the Nobel prize for economic science, but it expired just out of the money.
Since then, absolutely nothing of real importance except for a melding of credit and volatility factors into pricing models.
A lot of basics of fixed income modelling already was in place as early as 1913. See the below book.
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