G. Sorwar and G. Barone-Adesi, W. Allegretto, “Valua-tion of Derivatives Based on Single-Factor Interest Rate Models,” Global Finance Journal, Vol. 18, No. 2, 2007, pp. 251-269.
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.