Rusudan Kevkhishvili

Graduate School of Economics, Kyoto University

Yoshida-Honmachi

Sakyo-ku

Kyoto, 606-8501

Japan

SCHOLARLY PAPERS

2

DOWNLOADS

91

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage

Number of pages: 36 Posted: 17 Jul 2019 Last Revised: 01 Aug 2019
Masahiko Egami and Rusudan Kevkhishvili
Kyoto University and Graduate School of Economics, Kyoto University
Downloads 57 (376,651)

Abstract:

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CDS spreads, negative basis arbitrage, shot noise, structural model

2.

A Direct Solution Method for Pricing Options in Regime-Switching Models

Number of pages: 28 Posted: 12 Jan 2018 Last Revised: 21 Sep 2018
Masahiko Egami and Rusudan Kevkhishvili
Kyoto University and Graduate School of Economics, Kyoto University
Downloads 34 (462,513)

Abstract:

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Optimal stopping, Markov switching, Diffusion, Concavity, Perpetual Options