{"ID":22955976,"CreatedAt":"2026-09-17T02:12:05.498442134Z","UpdatedAt":"2026-09-17T02:12:05.498442134Z","DeletedAt":null,"paper_url":"https://arxiv.org/abs/2609.19094","arxiv_id":"2609.19094","title":"Quadratic G-BSDEs for bond pricing with endogenous short-rate feedback","abstract":"We study robust bond valuation with endogenous short-rate feedback under volatility uncertainty. Within the $G$-expectation framework, the dependence of the short rate on the bond price yields a nonlinear fixed-point problem, represented by a quadratic $G$-BSDE for the logarithmic price. Under suitable assumptions, we establish existence, uniqueness, comparison, and stability for bounded finite-horizon solutions. An additional strict monotonicity condition yields a unique bounded infinite-horizon solution and exponential convergence of finite-horizon approximations on compact time intervals. We apply these results to inverse short-rate design, constructing discount-rate coefficients that reproduce admissible smooth bond-price targets at a fixed maturity. For long maturities, we construct feedback rules under which the compensated logarithmic price converges exponentially to a prescribed bounded state-dependent profile, while the asymptotic yield equals a specified target.","short_abstract":"We study robust bond valuation with endogenous short-rate feedback under volatility uncertainty. Within the $G$-expectation framework, the dependence of the short rate on the bond price yields a nonlinear fixed-point problem, represented by a quadratic $G$-BSDE for the logarithmic price. Under suitable assumptions, we...","url_abs":"https://arxiv.org/abs/2609.19094","url_pdf":"https://arxiv.org/pdf/2609.19094v1","authors":"[\"Jaehyun Kim\",\"Hyungbin Park\"]","published":"2026-09-16T17:29:23Z","proceeding":"q-fin.MF","tasks":"[\"q-fin.MF\",\"math.PR\"]","methods":"[]","has_code":false}