Interest rates are a fundamental aspect of the economy and have significant impact on various financial decisions such as borrowing, investing, saving. They cost borrowing money or return investment determined by factors supply demand for credit, inflation expectations, monetary policy made central banks. Changes in interest can major effect influence consumer spending, business investment, ove...

Abstract In this paper, we study the pricing of contracts in fixed income markets under volatility uncertainty sense Knightian or model uncertainty. The starting point is an arbitrage-free bond market about modeled by a G -Brownian motion, which drives forward rate dynamics. absence arbitrage ensured drift condition. Such setting leads to sublinear measure for additional contracts, yields eithe...

This paper explores whether interest rate factors, derived from the yield curve, can explain exchange rate fluctuations at different horizons. Using a dynamic term structure model under no-arbitrage, exchange rates are modeled as the ratio of two countries’ stochastic discount factors. Key to this framework is that factors are observable, which allows the model to be estimated by Maximum Likeli...