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T. G. Conley, L. P. Hansen, E. G. J. Luttmer and J. A. Scheinkman, “Short-Term Interest Rates as Subordinated Diffusions,” Review of Financial Studies, Vol. 10, No. 3, 1997, pp. 525-577.

has been cited by the following article:

• TITLE: Implied Bond and Derivative Prices Based on Non-Linear Stochastic Interest Rate Models

  AUTHORS: Ghulam Sorwar, Sharif Mozumder

  KEYWORDS: Stochastic, Interest Rates, Derivatives, Box Method

  JOURNAL NAME: Applied Mathematics, Vol.1 No.1, June 2, 2010

  ABSTRACT: In this paper we expand the Box Method of Sorwar et al. (2007) to value both default free bonds and interest rate contingent claims based on one factor non-linear interest rate models. Further we propose a one-factor non-linear interest rate model that incorporates features suggested by recent research. An example shows the extended Box Method works well in practice.