interpret a corporate bond price as a random variable. In this case the spot price does not a complete characteristic of the … to bond price. In the case when issuer of the corporate bond is the counterparty of the bond buyer counterparty and …

bond futures contract traded in London. Using the cash and futures trades of dealers and customers, we analyze their … Marktknappheit untersucht. Wir betrachten den in London gehandelten Bond-Future Kontrakt. Unter Verwendung der Cash- und Future …

schemes, which is consistent with quoted market bond prices. Traditionally, there have been differences in how instruments … with similar cash flow structures have been priced if their definition falls under that of a financial derivative versus if …, we provide some practical proxies, such as first-order approximations or basing calculations of CVA and DVA on bond …

This paper analyzes the effectiveness of hedging a defaultable bond, that may not be at par, with a credit default swap … framework uses bond recovery and time to default, which are correlated, to calculate the variance of the hedging errors and the … optimal hedge ratio for the bond-CDS trade. The results show that there are irreducible risks when hedging a defaultable bond …

and inflation risk premium. A literature investigating the efficiency of the inflation derivative markets and a comparison …

default probabilities. -- Credit default ; credit derivative ; default dependence ; structural form models ; threshold model …