Written on 16 May 2018.
Jeroen Jansen’s article “Local Volatility and the Recovery Rate of Credit Default Swaps”, published in the Journal of Economic Dynamics and Control, and co-authored with EDHEC core faculty Frank J. Fabozzi and EDHEC affiliate faculty Sanjv R. Das. This article is based on the research produced by Jeroen Jansen for his doctoral thesis. EDHEC PhD alumnus (2016), Jeroen Jansen is Fixed Income and Convertible Specialist at PIAM, Research Associate at EDHEC-Risk Institute, and Lecturer in Finance & Investments at Rotterdam School of Management.
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