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 …

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 …

market price of a CoCo bond in a Black-Scholes setting. The numerical results in this paper show how different contingent …

This paper examines the cross section of options implied volatility and corporate bond returns. We document a strong … predictive ability of corporate bond returns using changes in call and put options implied volatility. Specifically, a strategy … bond return of 1.03% in excess of the risk free rate. Returns based on this strategy are statistically highly significant …