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 …

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 …

We document a strong positive cross-sectional relation between corporate bond yield spreads and bond return … volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and …, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …

We document a higher bond return volatility around the time of default for bonds included in CDS auctions (especially … cheapest-to-deliver bonds) versus those that are not, while controlling for firm fundamentals and bond illiquidity. This … CDS buyers and sellers manipulating bond prices to achieve favorable CDS auction outcomes, rather than a spillover of …

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 …

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