Statistical arbitrage with default and collateral

DOI10.1016/J.ECONLET.2010.04.015MaRDI QIDQ991350zbMATH OpenOpenAlexFDO

Authors José Fajardo, Ana Lacerda

Publication date 7 September 2010

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://www.bportugal.pt/sites/default/files/anexos/papers/wp200808.pdf

zbMATH Keywords

collateraldefaultstatistical arbitrage

Mathematics Subject Classification ID

Credit risk (91G40)

Recommendations

• Statistical arbitrage in the Black-Scholes framework
• scientific article; zbMATH DE number 1642333
• Statistical arbitrage and risk contagion
• Statistical arbitrage under the efficient market hypothesis
• Statistical arbitrage with vine copulas
• Pricing collateralized derivatives with an arbitrary numeraire
• A note on arbitrage and exogenous collateral
• Robust statistical arbitrage strategies
• Probabilistic aspects of arbitrage
• Statistical arbitrage in jump-diffusion models with compound Poisson processes

Cites work

• scientific article; zbMATH DE number 3281211 (Why is no real title available?)
• A note on arbitrage and exogenous collateral
• Collateral Avoids Ponzi Schemes in Incomplete Markets
• Collateral once again
• Endogenous collateral
• Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral

Cited in

(4)

• scientific article; zbMATH DE number 1642333 (Why is no real title available?)
• Statistical arbitrage under the efficient market hypothesis
• Statistical arbitrage in jump-diffusion models with compound Poisson processes
• Behavioral arbitrage with collateral and uncertain deliveries

This page was built for publication: Statistical arbitrage with default and collateral

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q991350)