Sorwar, Ghulam; Mozumder, Sharif Implied bond and derivative prices based on non-linear stochastic interest rate models. (English) Zbl 1202.91327 Appl. Math., Irvine 1, No. 1, 37-43 (2010). Summary: 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. MSC: 91G20 Derivative securities (option pricing, hedging, etc.) 91G30 Interest rates, asset pricing, etc. (stochastic models) Keywords:stochastic; interest rates; derivatives; box method PDFBibTeX XMLCite \textit{G. Sorwar} and \textit{S. Mozumder}, Appl. Math., Irvine 1, No. 1, 37--43 (2010; Zbl 1202.91327) Full Text: DOI