"We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term … markets per se are incomplete and yield volatility risk cannot be hedged by taking positions solely in the Treasury bond …

form expectations using the misspecified model. Next, I exploit the connection between robust control and uncertainty …

We focus on two particular aspects of model risk: the inability of a chosen model to fit observed market prices at a … given point in time (calibration error) and the model risk due to the recalibration of model parameters (in contradiction to … model risk in a common framework, and consider the trade-offs between them when choosing a model and the frequency with …