This paper estimates stochastic differential equation models for the interest rate dynamics of the United Kingdom bond market using Gaussian estimation econometric methods and monthly data over the period 1970–2010 using a range of maturities. Gaussian estimates of single and two equation...

In this paper, we use the Box numerical method to compute implied bond and option prices starting from the general CKLS interest rate model based on Japanese interbank data. In particular, we compute numerically implied prices from the CKLS, Vasicek, Cox–Ingersoll–Ross and Brennan–Schwartz...