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 … unspanned stochastic volatility. …

In this paper, we study an irreversible investment problem under Knightian uncertainty. In a general framework, in … which Knightian uncertainty is modeled through a set of multiple priors, we prove existence and uniqueness of the optimal … terms of the solution to a stochastic backward equation under the worst- case scenario. In a time-homogeneous setting …

We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent …

on the market and thus receives a continuous stochastic revenue-flow. This investment problem is set as a twodimensional …