dynamics. We show that this is a tractable term structure model and provides closed-form solutions to bond prices, yields, bond … option prices, and the term structure of forward rate volatility. We demonstrate the capabilities of our model by calibrating … it to a panel of spot rates and the empirical volatility of forward rates simultaneously, making the model consistent …

-form expressions for pricing and hedging bond power exchange options are obtained and, as particular cases, the corresponding … equivalence of the European and the American versions of bond power exchange options are provided and the put-call parity relation … for European bond power exchange options is established. Finally, we consider several applications of our results …

arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion …We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an … of the expectations hypothesis and a valuation method for bond options. With these tools, we derive robust pricing rules …