Inside the EMs Risky Spreads and CDS-Sovereign Bonds Basis

DOI10.1007/978-3-319-33446-2_15zbMath1398.91621OpenAlexW2559744404MaRDI QIDQ4689915

Vilimir Yordanov

Publication date: 22 October 2018

Published in: Innovations in Derivatives Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-33446-2_15

zbMATH Keywords

HJMforeign debtCDS-bond basisdomestic debtZ-spread

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Term structure modelling of defaultable bonds
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• Towards a general theory of bond markets
• A cross-currency Lévy market model

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