system stability. Accordingly, we empirically test volatility dynamics of the tenyear sovereign bond yields of the 2004 EU … results show a varied degree of bond yield comovements, the most pronounced for the Czech Republic, Slovenia and Poland, and … weaker for Hungary and Slovakia. However, since the EU accession, we find some divergence of relative bond yields. We argue …

geometric Brownian motion. Finally, we derive pricing bounds for convertible bonds in an uncertain volatility model, i.e. when … the volatility of the firm value process lies between two extreme values. …

significant degree of leptokurtosis, thus prevalence of tail-risks, in the conditional volatility series of such variables in the …

bounds for convertible bonds are derived in an uncertain volatility model, i.e. when the volatility of the stock price …

We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously … entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them … to repeatedly earn the difference between the bond asset swap spread and the CDS, known as the basis. We show that the …

credit risk models to fit corporate bond data. It is well known in fact that these models lead to a strong understatement of …