Pricing interest rate derivatives under volatility uncertainty

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Cites Work

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

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