arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion …We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an … of the expectations hypothesis and a valuation method for bond options. With these tools, we derive robust pricing rules …

maturity varying yields, maturity varying volatility, and maturity varying interest rates. Most research papers focused on …

of the derivative, but also the probability of default of a counterparty. Another complication arises in the calculation …

actively traded VIX options. Under the model, the evolution of future VIX is completely determined by the volatility function … of forward VIX squared normalized by VIX futures prices. A general volatility function with one- to three-factor models … general volatility function that incorporates mean-reversion and hump effects to test two multifactor models, (iii) finding …

volatility surface. The rapid development of the CDS market has provided convenient products to extract credit risk, and its … interaction with equity volatility has been analyzed in many studies. However, in most of them the 5-year credit default swap … spread is used to measure credit risk, whilst the at-the-money 1-month implied volatility is used to measure equity …

We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full … interest rate by a stochastic volatility displaced-diffusion Libor Market Model [AA02], which can model an interest rate smile …