A Linear and Nonlinear Review of the Arbitrage-Free Parity Theory for the CDS and Bond Markets-Reference-Cited by-同舟云学术

A Linear and Nonlinear Review of the Arbitrage-Free Parity Theory for the CDS and Bond Markets

Published:2012 Issue: Volume: Page:177-200
ISSN:2194-1009
Container-title:Topics in Numerical Methods for Finance
language:
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Author:

Moloney Kitty,Raghavendra Srinivas

Publisher

Springer US

Link

http://link.springer.com/content/pdf/10.1007/978-1-4614-3433-7_10.pdf

Reference36 articles.

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3. Hull, J. C., White, A.: Valuing credit default swaps II: modeling default correlations. J. Derivatives 8(3), 12–22 (2001)

4. Fontana, A., Scheicher, M.: An analysis of the euro are sovereign CDS and their relation with government bonds. Working Paper Series, European Central Bank.(1271) (2010)

5. Duffie, D.: Presidential address: asset price dynamics with slow-moving capital. J. Finance 65, 1237–1267 (2010)

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