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

DOI10.1007/978-1-4614-3433-7_10zbMath1296.91292MaRDI QIDQ2920959

Srinivas Raghavendra, Kitty Moloney

Publication date: 29 September 2014

Published in: Topics in Numerical Methods for Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4614-3433-7_10

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

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

91G40: Credit risk