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 …

bond futures contract traded in London. Using the cash and futures trades of dealers and customers, we analyze their … Marktknappheit untersucht. Wir betrachten den in London gehandelten Bond-Future Kontrakt. Unter Verwendung der Cash- und Future …

This paper investigates predictions of structural credit risk models for interest rate sensitivities of corporate bond … corporate bond returns to the entire yield curve, thereby providing a solution to the puzzle. In addition, hedging effectiveness … corporate bond returns, we need to incorporate a more realistic DTSM in the existing structural models. Lastly, we find that …

default probabilities. -- Credit default ; credit derivative ; default dependence ; structural form models ; threshold model …

cover pool and the payment structure. They offer unified risk metrics for the European covered bond universe, which ensures …

The effective functioning of the municipal bond market is crucial for the provision of public services, as it is the …