𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Statistical arbitrage with default and collateral

✍ Scribed by José Fajardo; Ana Lacerda


Book ID
116422584
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
163 KB
Volume
108
Category
Article
ISSN
0165-1765

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


Making promises in infinite-horizon econ
✍ Jaime Orrillo 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 204 KB

We study an infinite-horizon economy with incomplete markets where default is explicitly allowed, contrary to the GE 1 model (where default is ruled out by assumption). The time and uncertainty are modeled by a countable infinite event-tree with a unique initial node at initial date, and with a cont