Negative Basis Measurement: Finding the Holy Scale

DOI10.1007/978-3-319-33446-2_18zbMath1398.91564OpenAlexW2559411040MaRDI QIDQ4689919

Jan-Frederik Mai, German Bernhart

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_18

zbMATH Keywords

bond-CDS basishidden yieldnegative basis measurement

Mathematics Subject Classification ID

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

Related Items (1)

PRICING-HEDGING DUALITY FOR CREDIT DEFAULT SWAPS AND THE NEGATIVE BASIS ARBITRAGE

Cites Work

• Interpolation Methods for Curve Construction
• Simulating from the Copula that Generates the Maximal Probability for a Joint Default Under Given (Inhomogeneous) Marginals
• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS

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