Market Models of Forward CDS Spreads

DOI10.1007/978-3-0348-0097-6_21zbMATH Open1246.91101OpenAlexW175228014MaRDI QIDQ2909992FDOQ2909992

Authors: Marek Rutkowski, Libo Li 

Publication date: 7 September 2012

Published in: Stochastic Analysis with Financial Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0097-6_21

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zbMATH Keywords

credit default swapmarket modelLIBOR

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70)

Cited In (6)

• The dynamic spread of the forward CDS with general random loss
• CDS trading and bond interest rates
• The determinants of CDS spreads: evidence from the model space
• Modeling the forward CDS spreads with jumps
• A spread-return mean-reverting model for credit spread dynamics
• Non-linear Gaussian sovereign CDS pricing models

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