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.