Cross-Hedging Strategies between CDS Spreads and Option Volatility during Crises
José da Fonseca,
Katrin Gottschalk
Journal of International Money and Finance,
vol. 49, 2014, p. 386-400.
A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface
José da Fonseca,
Katrin Gottschalk
Journal of Futures Markets,
vol. 33, 2013, p. 494-517.