Browsing Department of Mathematical Sciences / Institutionen för matematiska vetenskaper by Author "Alfelt, Gustav"

Now showing items 1-1 of 1

    • Exploring a proxy to the CDS-Bond basis 

      Alfelt, Gustav (2013-06-20)
      This thesis investigates the behaviour of the CDS-bond basis dur- ing and after the 2008 nancial crisis. It is found that the basis plunges deep into negative territory and that the theory of a zero CDS-bond basis is ...