unexpected persistence of the dislocation between bond and derivative credit markets. We show that the first two moments of the …We reinvestigate the CDS-bond basis negativity puzzle after the financial crisis. This puzzle is defined as the … cross-sectional variation of the CDS-bond basis in each regime. Using a model with several limit-to-arbitrage factors, we …

as additional Tier 1 and their step-up feature reduced the probability that the bank skipped the call and kept the bond …

market price of a CoCo bond in a Black-Scholes setting. The numerical results in this paper show how different contingent …

approach and illustrate first important consequences, we show how to hedge a zero coupon bond with a smaller amount of initial …

This paper examines the cross section of options implied volatility and corporate bond returns. We document a strong … predictive ability of corporate bond returns using changes in call and put options implied volatility. Specifically, a strategy … bond return of 1.03% in excess of the risk free rate. Returns based on this strategy are statistically highly significant …

approach to formulating the theoretical price of a zero-coupon bond without the hassle of a change of probability measure - the …

to understand the linkage between the cheapest to deliver bond and closest futures pairs by using high-frequency data on …

correlation between interest rates and credit spreads. The times of default of a credit-risky bond are modelled as the jump times …, the partial differential equation (PDE) for the price of the zero-coupon credit-risky bond is derived. Then this PDE is … credit-risky bond mispricing under different parameter assumptions …