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S. J. Brown, P. H. Dybvig, “The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates,” Journal of Finance, Vol. 41, No. 3, 1986, pp. 617-630.

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.