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 …

the slope and volatility of LIBOR rates, and mortgage markets activities have strong impacts on the shape of the forward …, respectively. Our results provide nonparametric evidence of unspanned stochastic volatility and suggest that the unspanned factors …

dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the …

in EUR swap yields and their volatility. The results of the estimated models of EUR swap yields of different maturity …-term government bond yields and long-term market interest rates, primarily through their effects on the current short-term interest …

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

associated to the two yield curves, that carries on a volatility and correlation dependence. Numerical scenarios confirm that …

Whereas the callable-bond market used to emphasize primarily public debt - Government Agencies, and both investment …. S. bond market, and to relate those implied volatilities to measures of time to call, time from call to maturity …

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