volatility and exhibit a pattern known as the volatility skew. We explain both facts using a model that can also account for the … mean and volatility of equity returns. Our model assumes a small risk of economic disaster that is calibrated based on … to the model's ability both to match equity volatility and to reconcile option prices with macroeconomic data on disaster …

We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an … arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion … traditional models with the highest and lowest possible volatility. Due to these pricing formulas, the model naturally exhibits …

We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high …

We show how to set up a forward rate model in the presence of volatility uncertainty by using the theory of G …

It is shown how to construct an arbitrage-free short rate model under uncertainty about the drift and the volatility …

and volatility risk in the dynamics of asset value in debt rollover models. Using an innovative theoretical approach we … values from empirical studies that volatility risk, together with deteriorating bond market liquidity, decrease both debt and …