Pricing interest rate derivatives under volatility uncertainty
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Cites work
- A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
- A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
- A nonlinear non-probabilistic spot interest rate model
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
- Affine processes under parameter uncertainty
- Arbitrage and duality in nondominated discrete-time models
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Changes of numéraire, changes of probability measure and option pricing
- Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
- Constructing sublinear expectations on path space
- Duality for pathwise superhedging in continuous time
- Financial economics without probabilistic prior assumptions
- Financial markets with volatility uncertainty
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Girsanov's formula for \(G\)-Brownian motion
- Markov chains under nonlinear expectation
- Martingale representation theorem for the \(G\)-expectation
- Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and G-Brownian motion
- On arbitrage and duality under model uncertainty and portfolio constraints
- Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
- Pathwise superreplication via Vovk's outer measure
- Pointwise Arbitrage Pricing Theory in Discrete Time
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Quasi-sure stochastic analysis through aggregation
- Random \(G\)-expectations
- Reduced-form framework under model uncertainty
- Reduced-form setting under model uncertainty with non-linear affine intensities
- Robust fundamental theorem for continuous processes
- Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
- Stopping times and related Itô's calculus with \(G\)-Brownian motion
- Term structure modeling under volatility uncertainty
- The robust pricing–hedging duality for American options in discrete time financial markets
- The robust superreplication problem: a dynamic approach
- Uncertain volatility and the risk-free synthesis of derivatives
- Unspanned stochastic volatility in the multifactor CIR model
- Weak transport for non‐convex costs and model‐independence in a fixed‐income market
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