Behavioral arbitrage with collateral and uncertain deliveries

DOI10.1007/S10436-009-0135-9MaRDI QIDQ666444zbMATH OpenOpenAlexFDO

Authors José Fajardo

Publication date 8 March 2012

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-009-0135-9

zbMATH Keywords

collateralbehavioral arbitrageuncertain deliveriesutility penalties

Mathematics Subject Classification ID

Recommendations

• scientific article; zbMATH DE number 1642333
• Statistical arbitrage with default and collateral
• Collateral Avoids Ponzi Schemes in Incomplete Markets
• Arbitrage and asset prices
• Regulating collateral-requirements when markets are incomplete

Cites work

• scientific article; zbMATH DE number 3281211 (Why is no real title available?)
• A note on arbitrage and exogenous collateral
• Collateral once again
• Default and Punishment in General Equilibrium1
• Endogenous collateral
• Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets
• Harsh default penalties lead to Ponzi schemes
• The optimal bankruptcy rule in a trading economy using fiat money

Cited in

(1)

• scientific article; zbMATH DE number 1642333 (Why is no real title available?)

This page was built for publication: Behavioral arbitrage with collateral and uncertain deliveries

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q666444)