Analysis of credit default swaps and the CDS bond basis
Viscillo, Pierluigi (A.A. 2020/2021) Analysis of credit default swaps and the CDS bond basis. Tesi di Laurea in Mathematical finance, Luiss Guido Carli, relatore Sara Biagini, pp. 50. [Bachelor's Degree Thesis]
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Abstract/Index
Credit default swap. Credit default swap market. Contract characteristics. Benefits and risks. Pricing. Hull & White model. Discrete-time model. CDS-bond basis. Measuring the basis. Analysis of cash and synthetic market. CDS-bond basis trade. Price discovery.
References
Bibliografia: pp. 49-50.
| Thesis Type: | Bachelor's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, English language (L-33) |
| Chair: | Mathematical finance |
| Thesis Supervisor: | Biagini, Sara |
| Academic Year: | 2020/2021 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 14 Mar 2022 11:32 |
| Last Modified: | 14 Mar 2022 11:32 |
| URI: | https://tesi.luiss.it/id/eprint/31689 |
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