We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an … arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion … traditional models with the highest and lowest possible volatility. Due to these pricing formulas, the model naturally exhibits …

The paper contributes to the stochastic volatility literature by developing simulation schemes for the conditional … distributions of the price of long term bonds and their variability based on non-standard distributional assumptions and volatility … tails (which gives rise to the volatility smile effect) are the elements which characterize the estimated PDFs). The …

Options on Interest Rates -- 18 Elements of Stochastic Calculus -- 19 *The Mathematical Framework of Financial Markets Theory … -- 20 The State Variables Model and the Valuation Partial Differential Equation -- Part 3 Portfolio Theory and Portfolio … Asset Pricing Model -- 23 Arbitrage Pricing Theory and Multi-Factor Models -- 24 Strategic Portfolio Allocation -- 25 …