arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion … of the expectations hypothesis and a valuation method for bond options. With these tools, we derive robust pricing rules …

interpret a corporate bond price as a random variable. In this case the spot price does not a complete characteristic of the … to bond price. In the case when issuer of the corporate bond is the counterparty of the bond buyer counterparty and …

of the short rate itself. Besides bond and bond futures, the model yields analytical solutions for prices of European … observations of a chosen short rate/bond prices. Another advantage of our discrete-time model is that for derivatives like average … random volatility of the short rate are manifested mostly in bond option prices rather than in bond prices …

. The indifference price of the zero-coupon bond is the price at which the investor could achieve the same expected utility … under both strategies. In an affine term structure setting, we show that the indifference price of the zero-coupon bond is …

bond futures contract traded in London. Using the cash and futures trades of dealers and customers, we analyze their … Marktknappheit untersucht. Wir betrachten den in London gehandelten Bond-Future Kontrakt. Unter Verwendung der Cash- und Future …

insurances for two crops in three districts each. We then estimate the parameters of rainfall bond and rainfall call option with …

interest-rate sensitive, derivative pricing models. Our overview of conceptual approaches highlights the tradeoffs that have …

schemes, which is consistent with quoted market bond prices. Traditionally, there have been differences in how instruments … with similar cash flow structures have been priced if their definition falls under that of a financial derivative versus if …, we provide some practical proxies, such as first-order approximations or basing calculations of CVA and DVA on bond …