We show how to set up a forward rate model in the presence of volatility uncertainty by using the theory of G … absence of arbitrage, known as the drift condition. In contrast to the traditional model, the drift condition consists of two …

traced back to certain developments in economic theory since the so-called "marginalist revolution", which enabled the …

taking into account model uncertainty. In this sense, the application of our method might make statistical arbitrage more … robust, because the trading code for statistical arbitrage is often based on the statistical test which might lead the …