scientific article; zbMATH DE number 2222923

MaRDI QIDQ5701729zbMATH OpenFDO

Authors Seppo Pynnönen, Warren Hogan, Jonathan Batten

Publication date 4 November 2005

zbMATH Keywords

Credit Spreads, Eurobonds, Japan, Equilibrium Correction

Mathematics Subject Classification ID

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• Affine arbitrage-free yield net models with application to the euro debt crisis
• Dynamical analysis of corporate bonds based on the yield spread term-quality surface
• Forecasting credit spread volatility: evidence from the Japanese Eurobond market
• A linear and nonlinear review of the arbitrage-free parity theory for the CDS and bond markets

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