G. Barone-Adesi, E. Dinenis and G. Sorwar, “A Note on the Convergence of Binomial Approximations for Interest Rate Models,” Journal of Financial Engineering, Vol. 6, No. 1, 1997, pp. 71-78.

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.