  We analyze analytic approximation formulae for pricing zero-coupon bonds in
the case when the short-term interest rate is driven by a one-factor
mean-reverting process with a volatility nonlinearly depending on the interest
rate itself. We derive the order of accuracy of the analytical approximation
due to Choi and Wirjanto. We furthermore give an explicit formula for a higher
order approximation and we test both approximations numerically for a class of
one-factor interest rate models.
