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 …

We provide an efficient swaption volatility approximation for longer maturities and tenors, under the lognormal forward …-LIBOR model. In particular, we approximate the swaption volatility with a mean update of the spanning forward rates. Since the …

volatility on backward-looking term rates …

We conduct an empirical analysis of the term structure in the volatility risk premium in the fixed income market by … returns that seem uncorrelated suggests that the term structure is affected by both jump risk and volatility risk. The results …

Equity options display a strong factor structure. The first principal components of the equity volatility levels, skews … components are highly correlated with the S&P500 index option volatility, skew, and term structure respectively. We develop an …

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 …