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

DOI10.1142/S0219024919500328zbMath1426.91289OpenAlexW2966572764MaRDI QIDQ5242956

Jan-Frederik Mai

Publication date: 8 November 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024919500328

zbMATH Keywords

arbitragecredit default swapnegative basispricing-hedging dualitybond-CDS basis

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)

Cites Work

• DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM
• Negative Basis Measurement: Finding the Holy Scale
• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
• Unnamed Item

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