arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion …We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an … of the expectations hypothesis and a valuation method for bond options. With these tools, we derive robust pricing rules …

Although the effect of interest rate stochasticity can safely be ignored for short-dated exchange traded volatility … institutions. We therefore extend existing model-free results for the pricing of variance swaps and more general volatility …

maturity varying yields, maturity varying volatility, and maturity varying interest rates. Most research papers focused on …

, Jarrow, and Morton (1992) framework for commodity futures prices that incorporates stochastic volatility and stochastic … interest rate and allows a correlation structure between the futures price process, the futures volatility process and the … interest rate process. The functional form of the futures price volatility is specified so that the model admits finite …

The behavior of the implied volatility surface for European options was analyzed in details in [Zumbach and Fernandez …, and given by a volatility forecast in the time-to-maturity direction. This difference is the basis of a cross … the option arbitrage price in order to compute realistic implied volatility surfaces. Finally, the cross …

of the derivative, but also the probability of default of a counterparty. Another complication arises in the calculation …

overnight interest rate derivative market which is used by market participants to bet on future monetary decisions …

(FX) interest rate hybrids under a three-factor multi-currency pricing model with FX volatility skew. The emphasis of the …