Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/201638 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
Center for Mathematical Economics Working Papers No. 613
Verlag: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Zusammenfassung: 
We show how to set up a forward rate model in the presence of volatility uncertainty by using the theory of G-Brownian motion. In order to formulate the model, we extend the G-framework to integration with respect to two integrators and prove a version of Fubini's theorem for stochastic integrals. The evolution of the forward rate in the model is described by a diffusion process, which is driven by a G-Brownian motion. Within this framework, we derive a sufficient condition for the absence of arbitrage, known as the drift condition. In contrast to the traditional model, the drift condition consists of two equations and two market prices of risk, respectively, uncertainty. Furthermore, we examine the connection to short rate models and discuss some examples.
Schlagwörter: 
Robust Finance
Knightian Uncertainty
Interest Rates
No-Arbitrage
JEL: 
G12
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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